Lévy random bridges and the modelling of financial information
From MaRDI portal
Publication:544493
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
Lévy processes; option pricing; information-based asset pricing; Lévy bridges; non-linear filtering theory
60G51: Processes with independent increments; Lévy processes
91G20: Derivative securities (option pricing, hedging, etc.)
91B44: Economics of information
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