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Asymmetrical information and incomplete markets. (English) Zbl 1154.91542

Summary: This paper is an extension of [13] where we have studied a financial market with informed and non-informed agents. The informed agent has an initial insider information. We analyze the completeness of the market and the family of risk-neutral probabilities. Some cases of arbitrage opportunities are done.

MSC:

91B44 Economics of information
91B60 Trade models
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[1] DOI: 10.1016/S0304-4149(98)00014-3 · Zbl 0934.91020 · doi:10.1016/S0304-4149(98)00014-3
[2] DOI: 10.1007/BFb0075771 · doi:10.1007/BFb0075771
[3] DOI: 10.1007/BF01450498 · Zbl 0865.90014 · doi:10.1007/BF01450498
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[5] DOI: 10.1142/S0219024900000802 · Zbl 0962.91038 · doi:10.1142/S0219024900000802
[6] Grorud A., Serie 1 pp 1137– (1997)
[7] DOI: 10.1142/S0219024998000199 · Zbl 0909.90023 · doi:10.1142/S0219024998000199
[8] Grorud A., Serie 1 pp 1009– (1999)
[9] Harrison M. J., Stochastic Processes and Their Applications 15 (983) pp 313–
[10] DOI: 10.1007/BF01447332 · Zbl 0715.90014 · doi:10.1007/BF01447332
[11] DOI: 10.1007/BF00641409 · Zbl 0375.60069 · doi:10.1007/BF00641409
[12] DOI: 10.1080/07362999508809418 · Zbl 0837.60042 · doi:10.1080/07362999508809418
[13] DOI: 10.1007/BFb0075767 · doi:10.1007/BFb0075767
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