Similar Search Results

Hughston, Lane P.; Sánchez-Betancourt, Leandro - In: Risks 8 (2020) 4, pp. 1-22

In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {F t } tÏ0 {Ft}tÏ0 is generated by an information process {ξ t } tÏ0 {ξt}tÏ0 defined in such a way that at some fixed time T an F T FT -measurable random variable X T XT is "revealed". A cash...

Persistent link: https://www.econbiz.de/10013200638

Determination of the Lévy exponent in asset pricing models

Bouzianis, George; Hughston, Lane P. - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10012012832

Pricing with variance gamma information

Hughston, Lane P.; Sánchez-Betancourt, Leandro - In: Risks : open access journal 8 (2020) 4/105, pp. 1-22

In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {F t } t≥0 {Ft}t≥0 is generated by an information process {ξ t } t≥0 {ξt}t≥0 defined in such a way that at some fixed time T an F T FT -measurable random variable X T XT is "revealed". A cash...

Persistent link: https://www.econbiz.de/10012384391

Optimal hedging in incomplete markets

Bouzianis, George; Hughston, Lane P. - In: Applied mathematical finance 27 (2020) 4, pp. 265-287

Persistent link: https://www.econbiz.de/10012425323