English, Article edition: PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH CLAUDIA CECI; ANNA GERARDI

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Bookmark: http://trove.nla.gov.au/version/18168
Physical Description
  • article
Language
  • English

Edition details

Title
  • PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH
Author
  • CLAUDIA CECI
  • ANNA GERARDI
Physical Description
  • article
Notes
  • 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.
  • Pricing under restricted information, minimal entropy martingale measure, marked point processes, jump-diffusions, filtering
  • RePEc:wsi:ijtafx:v:12:y:2009:i:02:p:179-207
Language
  • English
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