Hoyle, Edward; Hughston, Lane P.; Macrina, Andrea - In: Stochastic Processes and their Applications 121 (2011) 4, pp. 856-884
The information-based asset-pricing framework of Brody-Hughston-Macrina (BHM) is extended to include a wider class of models for market information. To model the information flow, we introduce a class of processes called Lévy random bridges (LRBs), generalising the Brownian bridge and gamma...
