PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH
Year of publication: |
2009
|
---|---|
Authors: | CECI, CLAUDIA ; GERARDI, ANNA |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 12.2009, 02, p. 179-207
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Pricing under restricted information | minimal entropy martingale measure | marked point processes | jump-diffusions | filtering |
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