The continuous-time version of Kyle’s (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying noise trading, and by allowing the orders of the noise traders to be correlated with the insider’s signal. From...

In order to find the real market value of an asset in an exchange economy, one would typically apply the formula appearing in Lucas (1978), developed in a discrete time framework. This theory has also been extended to continuous time models, in which case the same pricing formula has been...