INFORMATION-BASED ASSET PRICING

DOI10.1142/S0219024908004749zbMath1152.91487arXiv0704.1976OpenAlexW4214697276MaRDI QIDQ3520396

Lane P. Hughston, Dorje C. Brody, 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

correlationasset pricingstochastic volatilityBrownian bridgenonlinear filteringpartial informationmarket microstructuredividend growth

Mathematics Subject Classification ID

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Cites Work

• An overview of credit derivatives
• Probing option prices for information
• Complete–market models of stochastic volatility
• A view of three decades of linear filtering theory
• Term Structures of Credit Spreads with Incomplete Accounting Information
• AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Information in Securities Markets: Kyle Meets Glosten and Milgrom
• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
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