BFS 2002

Contributed Talk

Asymmetric Information and Imperfect Competition in a Continuous Time Multivariate Security Model

Guillaume Lasserre

This paper deals with the problem of price formation on a market with asymmetric informations and several risky assets. As Back (1992) and Cho (1997), we consider a model with a single insider and we extend to a continuous time framework the multivariate security model of Caballé and Krishnan (1994). We state first a general verification theorem, then we permit the insider to have two kinds of behaviour : risk neutral or risk averse with an exponential utility.