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Bond Prices Under Information Asymmetry and a Short Rate with Instantaneous Feedback |
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| Authors: | Chakraborty Prakash Lee Kiseop |
| Affiliation: | 1.Department of Statistics, Purdue University, 250 N. University St, W. Lafayette, IN, 47907, USA ;2.Department of Mathematics, University of Michigan, 530 Church St, Ann Arbor, MI, 48109, USA ; |
| Abstract: | Methodology and Computing in Applied Probability - We study an information asymmetry problem in a bond market. Especially we derive bond price dynamics of traders with different levels of... |
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