PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH
PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH
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部分信息下几何标记点过程的定价：熵方法
DOI：
10.1142/s0219024909005191
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发表时间：
2009
影响因子：
0.5
通讯作者：
A. Gerardi
中科院分区：
文献类型：
--
作者：
Claudia Ceci;A. Gerardi
将欧式未定权益B的无套利定价问题放在部分信息条件下股价日内变动的一般模型中考虑。风险资产价格的动态通过一个标记点过程Y来描述，其局部特征依赖于某个不可观测的跳跃扩散过程X。过程Y和X可能有共同的跳跃时间，这意味着交易活动可能会影响X的定律，也可能与灾难性事件的存在有关。刻画了风险中性度量，特别是研究了最小熵鞅度量。讨论了信息受限条件下的定价问题，得到了索赔B的无套利价格。利用滤波技术计算了最小熵鞅测度。
The problem of the arbitrage-free pricing of a European contingent claim B is considered in a general model for intraday stock price movements in the case of partial information. The dynamics of the risky asset price is described through a marked point process Y, whose local characteristics depend on some unobservable jump diffusion process X. The processes Y and X may have common jump times, which means that the trading activity may affect the law of X and could be also related to the presence of catastrophic events. Risk-neutral measures are characterized and in particular, the minimal entropy martingale measure is studied. The problem of pricing under restricted information is discussed, and the arbitrage-free price of the claim B w.r.t. the minimal entropy martingale measure is computed by using filtering techniques.