Elimination of arbitrage states in asymmetric information models

In a financial economy with asymmetric information and incomplete markets, we study how agents, having no model of how equilibrium prices are determined, may still refine their information by eliminating sequentially "arbitrage state(s)", namely, the state (s) which would grant the agent an arbitrage, if realizable. This article provides a dual behavior of the one studied in Cornet and De Boisdeffre (2002).

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Year of publication:	2009-12
Authors:	Cornet, Bernard ; Boisdeffre, Lionel De
Institutions:	HAL
Subject:	Arbitrage \| incomplete markets \| asymmetric information \| information revealed by prices

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00441895
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010738693