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).
|Date of creation:||2009/12|
|Publication status:||Published in Documents de travail du Centre d'Economie de la Sorbonne 2009.78 - ISSN : 1955-611X. 2009|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00441895|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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