Universal state prices and asymmetric information.

DOI10.1016/S0304-4068(02)00064-2MaRDI QIDQ1867768zbMATH OpenFDO

Authors Rui Kan, Darrell Duffie

Publication date 2 April 2003

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4068(02)00064-2

zbMATH Keywords

complete marketequilibriummartingale measurestate prices

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44) Statistical methods; economic indices and measures (91B82)

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Cites work

• Martingales and arbitrage in multiperiod securities markets
• Multiperiod security markets with differential information
• The structure of financial equilibrium with exogenous yields. The case of restricted participation

Cited in

(2)

• Elimination of arbitrage states in asymmetric information models
• Multiperiod security markets with differential information

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