Lévy random bridges and the modelling of financial information

DOI10.1016/j.spa.2010.12.003zbMath1225.60079arXiv0912.3652MaRDI QIDQ544493

Edward Hoyle, Andrea Macrina, Lane P. Hughston, Edward Hoylea

Publication date: 15 June 2011

Published in: Stochastic Processes and their Applications, Financial Informatics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.3652

zbMATH Keywords

Lévy processes; option pricing; information-based asset pricing; Lévy bridges; non-linear filtering theory

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

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

91B44: Economics of information

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