Universal state prices and asymmetric information.

DOI10.1016/S0304-4068(02)00064-2zbMath1038.91522MaRDI QIDQ1867768

Rui Kan, J. Darrell Duffie

Publication date: 2 April 2003

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

zbMATH Keywords

equilibriummartingale measurecomplete marketstate prices

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44) Statistical methods; economic indices and measures (91B82)

Cites Work

• The structure of financial equilibrium with exogenous yields. The case of restricted participation
• Multiperiod security markets with differential information
• Martingales and arbitrage in multiperiod securities markets

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