INFORMATION-BASED ASSET PRICING

DOI10.1142/S0219024908004749zbMath1152.91487arXiv0704.1976MaRDI QIDQ3520396

Dorje C. Brody, Lane P. Hughston, Andrea Macrina

Publication date: 26 August 2008

Published in: International Journal of Theoretical and Applied Finance, Financial Informatics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.1976

zbMATH Keywords

correlation; asset pricing; stochastic volatility; Brownian bridge; nonlinear filtering; partial information; market microstructure; dividend growth

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

91B44: Economics of information

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)