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Displaying similar documents to “Entropic Conditions and Hedging”

Pricing rules under asymmetric information

Shigeyoshi Ogawa, Monique Pontier (2007)

ESAIM: Probability and Statistics

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We consider an extension of the Kyle and Back's model [Back, (1992) 387–409; Kyle, (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function...