تقرير
A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information
| العنوان: | A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information |
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| المؤلفون: | Kato, Takashi, Sekine, Jun, Yamamoto, Hiromitsu |
| المصدر: | Asia-Pacific Financial Markets, May 2014, Volume 21, Issue 2, pp 151-174 |
| سنة النشر: | 2014 |
| المجموعة: | Quantitative Finance |
| مصطلحات موضوعية: | Quantitative Finance - Pricing of Securities, Quantitative Finance - Mathematical Finance, 91G20, 60J70, 93C41 |
| الوصف: | A one-factor asset pricing model with an Ornstein--Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting speed parameters are modeled as hidden/unobservable stochastic variables. No-arbitrage pricing formulas for derivative securities written on a liquid asset and exponential utility indifference pricing formulas for derivative securities written on an illiquid asset are presented. Moreover, a conditionally linear filtering result is introduced to compute the pricing/hedging formulas and the Bayesian estimators of the hidden variables. Comment: 21 pages |
| نوع الوثيقة: | Working Paper |
| DOI: | 10.1007/s10690-014-9182-y |
| URL الوصول: | http://arxiv.org/abs/1406.4275 |
| رقم الأكسشن: | edsarx.1406.4275 |
| قاعدة البيانات: | arXiv |
| DOI: | 10.1007/s10690-014-9182-y |
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