Enlargement of Filtration and Additional Information in Pricing Models: a Bayesian Approach

Dario Gasbarra, Esko Valkeila, Lioudmila Vostrikova

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationEspoo
Publication statusPublished - 2004
MoE publication typeD4 Published development or research report or study

Publication series

NameHelsinki University of Technology Institute of Mathematics Research Reports
PublisherTKK
No.A476

Keywords

  • asymmetric information
  • dynamical Bayesian modelling
  • enlargement of filtration
  • Lévy processes

Cite this

Gasbarra, D., Valkeila, E., & Vostrikova, L. (2004). Enlargement of Filtration and Additional Information in Pricing Models: a Bayesian Approach. (Helsinki University of Technology Institute of Mathematics Research Reports; No. A476).