  Mainstream financial econometrics methods are based on models well tuned to
replicate price dynamics, but with little to no economic justification. In
particular, the randomness in these models is assumed to result from a
combination of exogenous factors. In this paper, we present a model originating
from game theory, whose corresponding price dynamics are a direct consequence
of the information asymmetry between private and institutional investors. This
model, namely the CMMV pricing model, is therefore rooted in market
microstructure. The pricing methods derived from it also appear to fit very
well historical price data. Indeed, as evidenced in the last section of the
paper, the CMMV model does a very good job predicting option prices from
readily available data. It also enables to recover the dynamic of the
volatility surface.
