Financial Informatics 2022
DOI: 10.1142/9789811246494_0016
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Pricing with Variance Gamma Information

Abstract: In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {F t } t≥0 is generated by an information process {ξ t } t≥0 defined in such a way that at some fixed time T an F T -measurable random variable X T is "revealed". A cash flow H T is taken to depend on the market factor X T , and one considers the valuation of a financial asset that delivers H T at time T. The value of the asset S t at any time t ∈ [0, T) is the discounted conditional expectation of H T with respect t… Show more

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