Risk neutral measures and asymmetrical information

Authors
Grorud, A Pontier, M
Citation
A. Grorud et M. Pontier, Risk neutral measures and asymmetrical information, CR AC S I, 329(11), 1999, pp. 1009-1014
Citations number
12
Categorie Soggetti
Mathematics
Journal title
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE
ISSN journal
07644442 → ACNP
Volume
329
Issue
11
Year of publication
1999
Pages
1009 - 1014
Database
ISI
SICI code
0764-4442(199912)329:11<1009:RNMAAI>2.0.ZU;2-7
Abstract
This Note uses the enlargement of filtrations for modelling the observation of a financial market by an insider trader. We study risk-neutral probabil ities existence, completeness of the market and we compare the contingent c laims prices. (C) 1999 Academie des sciences/Editions scientifiques et medi cales Elsevier SAS.