英文标题：
《A One-Factor Conditionally Linear Commodity Pricing Model under Partial
Information》
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作者：
Takashi Kato, Jun Sekine and Hiromitsu Yamamoto
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最新提交年份：
2014
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英文摘要：
A one-factor asset pricing model with an Ornstein--Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting speed parameters are modeled as hidden/unobservable stochastic variables. No-arbitrage pricing formulas for derivative securities written on a liquid asset and exponential utility indifference pricing formulas for derivative securities written on an illiquid asset are presented. Moreover, a conditionally linear filtering result is introduced to compute the pricing/hedging formulas and the Bayesian estimators of the hidden variables.
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中文摘要：
研究了部分信息下以Ornstein-Uhlenbeck过程为状态变量的单因素资产定价模型：均值回复水平和均值回复速度参数被建模为隐藏/不可观测的随机变量。给出了流动资产上衍生证券的无套利定价公式和非流动资产上衍生证券的指数效用无差异定价公式。此外，引入条件线性滤波结果来计算定价/套期保值公式和隐藏变量的贝叶斯估计。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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