| dc.date.accessioned | 2013-03-12T08:18:58Z | |
| dc.date.available | 2013-03-12T08:18:58Z | |
| dc.date.issued | 2007 | en_US |
| dc.date.submitted | 2009-11-16 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10529 | |
| dc.description.abstract | In this paper we use some ideas of Cornet and de Boisdeffre to study the concept of arbitrage under asymmetric information. The mathematical framework is a separable probability space where the agents' information are represented by $\sigma$-algebras. In this setting we formulate some versions of the fundamental theorem of asset pricing (aka the Dalang-Morton-Willinger theorem) for the case of asymmetric information. We also study the revealing properties of no-arbitrage prices and prove that the results of Cornet and de Boisdeffre hold in a more general setting. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2007). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Arbitrage and asymmetric information | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-11-16 | en_US |
| dc.rights.holder | Copyright 2007 The Author(s) | |
| dc.creator.author | Eide, Inga Baadshaug | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23514 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 96897 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10529/1/pm24-07.pdf | |