---
title: Price Discovery for Derivatives
url: https://www.ml-quant.com/papers/ssrn/4728383/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4728383
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4728383
featured: 2024-02-21
citations: unknown
topic: Derivatives & Volatility
---


# Price Discovery for Derivatives

The study investigates price discovery in a model where an agent has private information about state probabilities, extending the setting to Arrow-Debreu securities and analyzing the impact of informed demand price and information efficiency of prices.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4728383
- Identifier: SSRN 4728383
- Released: 2021-06-13
- First featured: Quant Letter No. 38 (2024-02-21): https://www.ml-quant.com/issues/2024-02-21/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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