Generalized Filtrations and Its Application to Binomial Asset Pricing Models
| Autor: | Adachi, Takanori, Nakajima, Katsushi, Ryu, Yoshihiro |
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| Rok vydání: | 2020 |
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| Druh dokumentu: | Working Paper |
| Popis: | We introduce generalized filtration with which we can represent situations such as some agents forget information at some specific time. The filtration is defined as a functor to a category Prob whose objects are all probability spaces and whose arrows correspond to measurable functions satisfying an absolutely continuous requirement [Adachi and Ryu, 2019]. As an application of a generalized filtration, we develop a binomial asset pricing model, and investigate the valuations of financial claims along this type of non-standard filtrations. Comment: 18 pages |
| Databáze: | arXiv |
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