不對稱資訊與合理信念下的衍生性資產定價
Other Title
Pricing of Derivative Assets with
Asymmetric Information and Rational Beliefs
Asymmetric Information and Rational Beliefs
Date Issued
2003
Date
2003
Author(s)
巫和懋
DOI
912416H002039
Abstract
The purpose of this research is to study
the pricing of derivative assets when
participants in the financial markets have
heterogeneous beliefs and asymmetric
information. This research also analyses how
information asymmetry may influence the
nature of uncertainty in the market. In an economy with incomplete asset market, the
equilibrium prices may not have any
discernible connection with the exogenous
states of the world (see Kurz and Wu (1996)
and Huang and Wu (1999)). This kind of
uncertainty is therefore called “endogenous
uncertainty”. Based on the work of
Kyle(1985) and Kurz and Wu(1996), we
study the interactions between the stock
market and futures markets. Our results
provide a new framework for the future work
on the relation between information
asymmetry and endogenous uncertainty.
Subjects
Derivative Assets
Incomplete
Asset Markets
Asset Markets
Heterogeneous
Beliefs
Beliefs
Asymmetric
Information
Information
Publisher
臺北市：國立臺灣大學國際企業學系暨研究所
Type
report
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