Levy random bridges and the modelling of financial information

被引：39

作者：

Hoyle, Edward ^{[2
]}

Hughston, Lane P. ^{[2
]}

Macrina, Andrea ^{[1
,3
]}

机构：

[1] Kings Coll London, Dept Math, London WC2R 2LS, England

[2] Univ London Imperial Coll Sci Technol & Med, Dept Math, London SW7 2AZ, England

[3] Kyoto Univ, Inst Econ Res, Kyoto 6068501, Japan

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2011年 / 121卷 / 04期

基金：

英国工程与自然科学研究理事会;

关键词：

Levy processes; Levy bridges; Information-based asset pricing; Option pricing; Non-linear filtering theory; LIOUVILLE DISTRIBUTIONS;

D O I：

10.1016/j.spa.2010.12.003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The information-based asset-pricing framework of Brody-Hughston-Macrina (BHM) is extended to include a wider class of models for market information. To model the information flow, we introduce a class of processes called Levy random bridges (LRBs), generalising the Brownian bridge and gamma bridge information processes of BHM. Given its terminal value at T, an LRB has the law of a Levy bridge. We consider an asset that generates a cash-flow X-T at T. The information about X-T is modelled by an LRB with terminal value X-T. The price process of the asset is worked out, along with the prices of options. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：856 / 884

页数：29

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