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INFORMATION-BASED ASSET PRICING - MaRDI portal

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INFORMATION-BASED ASSET PRICING (Q3520396)

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scientific article; zbMATH DE number 7516338
Language Label Description Also known as
English
INFORMATION-BASED ASSET PRICING
scientific article; zbMATH DE number 7516338

    Statements

    title
    INFORMATION-BASED ASSET PRICING (English)
    0 references
    author
    Dorje C. Brody
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    Lane P. Hughston
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    Andrea Macrina
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    publication date
    26 August 2008
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    29 April 2022
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    zbMATH Keywords
    asset pricing
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    partial information
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    stochastic volatility
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    correlation
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    dividend growth
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    Brownian bridge
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    nonlinear filtering
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    market microstructure
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    Identifiers

    zbMATH Open document ID
    1152.91487
    0 references
    1489.91278
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    Mathematics Subject Classification ID
    91B28
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    91B24
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    91B44
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    91G30
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    91G20
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    60J70
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    zbMATH DE Number
    5316195
    0 references
    7516338
    0 references
    arXiv ID
    0704.1976
    0 references
    OpenAlex ID
    W4214697276
    0 references
     
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