IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Private information and the use of a so called 'information function'

  • Emmanuel Haven

    (Dept. of AFM University of Essex, United Kingdom)

The literature on private information as a source of trade is probably most well known via the seminal work by Jean Tirole and Paul Milgrom and Nancy Stokey. We consider an arbitrage opportunity to be the result of the existence of such private information. We are interested to propose a model which can accommodate the presence of arbitrage. A major ingredient in our proposed model is the concept of ‘information function’. We discuss in detail some of the characteristics of this function and propose how it can be used, amongst other uses in an arbitrage based option pricing model.

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 113.

as
in new window

Length:
Date of creation: 04 Jul 2006
Date of revision:
Handle: RePEc:sce:scecfa:113
Contact details of provider: Web page: http://comp-econ.org/Email:


More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:sce:scecfa:113. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.