Abstract.
This paper deals with the problem of price formation in a market with asymmetric information and several risky assets. We then extend the multivariate security model of Caballé and Krishnan (1994) to a continuous time framework, and general utility function. Our model enables us to observe some results which are specific to multi security markets such as Giffen effect. An application of the main result will be the non trivial generalizations of the models of Back (1992) and Cho (1997).
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Mathematics Subject Classification (1991):
49L10, 60G44, 90A15
JEL Classification:
G11, G12
The author would like to thank his supervisor H. Pham, K. Back and an anonymous referee for useful comments and discussions.
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Lasserre, G. Asymmetric information and imperfect competition in a continuous time multivariate security model. Finance and Stochastics 8, 285–309 (2004). https://doi.org/10.1007/s00780-003-0118-z
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DOI: https://doi.org/10.1007/s00780-003-0118-z