2014年
A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information
Asia-Pacific Financial Markets
- ,
- ,
- 巻
- 21
- 号
- 2
- 開始ページ
- 151
- 終了ページ
- 174
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1007/s10690-014-9182-y
- 出版者・発行元
- Springer New York LLC
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. © 2014 Springer Japan.
- リンク情報
- ID情報
-
- DOI : 10.1007/s10690-014-9182-y
- ISSN : 1387-2834
- SCOPUS ID : 84898003237