The formation of security price is both conditioned by trading mechanisms and affected by choice of risk preference and beliefs of the investors and the degree to which information is grasped. The paper combines these factors and introduces information asymmetry into the model to analyze the security price formation mechanism using Game Theory under market maker environment. Results show that on the one hand, investors do business to maximize their expected utility on the basis of their own risk preference, beliefs and acquired information, meanwhile the issue and implementation of trading order send out the information about liquidation value and then market maker provides liquidity for the market through bidirectional quoted price made on the observation of directive information; and that on the other hand, the orderly operation of security market is not only relevant to trading mechanisms, but also under influenced by investors＇ risk preferences, beliefs and differences in personal grasped information which are key factors to security price determination