BFS 2002 |
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Contributed Talk |
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.