Carlier, Guillaume; Ekeland, Ivar; Touzi, Nizar - Université Paris-Dauphine (Paris IX) - 2007
We consider a problem of derivatives design under asymmetry of information: the principal sells a contingent claim to an agent, the type of whom he does not know. More precisely, the principal designs a contingent claim and prices it for each possible agent type, in such a way that each agent...