Bernard De Meyer (CES Paris 1), 30 novembre 2018

vendredi 30 novembre 2018

Résumé : A market with asymmetric information can be viewed as a repeated exchange game between the informed sector and the uninformed one. In a market with risk-neutral agents, De Meyer [2010] proves that the price process should be a particular kind of Brownian martingale called CMMV (Continuous Martingales of Maximal Variation). The appearance of these dynamics is due to the strategic use of their private information by the informed agents. This type of dynamics also appears in Markets with risk-aversion : Under the martingale equivalent measure, the price process at equilibrium should be a CMMV.
This leads to a new type of pricing and hedging formulas.