发帖
雷达卡
摘要翻译：
在基于信息的资产定价方法中，市场过滤被明确地建模为涉及相关市场因素的信号和独立噪声的叠加。信号透露给市场的速度决定了资产波动的总体幅度。通过将信息流率随机化，我们在基于信息的方法中得到了一个基本的随机波动率模型。这种扩展在经济上是合理的，因为在实际市场中，信息流动速度很少可以衡量。在一个简单的模型建立的背景下，详细研究了具有随机信息流率的影响。具体而言，通过模拟研究，导出了资产的价格过程，揭示了资产的特征行为。通过计算一个欧式期权的价格，表明该模型具有足够的灵活性来拟合波动率面。作为随机信息流模型的推广，考虑了价格操纵问题。用一个简单的模型来说明被操纵和未被操纵的价格过程的偏度如何具有相反的特征。
---
英文标题：
《Asset pricing with random information flow》
---
作者：
Dorje C. Brody and Yan Tai Law
---
最新提交年份：
2010
---
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
--
---
英文摘要：
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market then determines the overall magnitude of asset volatility. By letting this information flow rate random, we obtain an elementary stochastic volatility model within the information-based approach. Such an extension is economically justified on account of the fact that in real markets information flow rates are rarely measurable. Effects of having a random information flow rate is investigated in detail in the context of a simple model setup. Specifically, the price process of the asset is derived, and its characteristic behaviours are revealed via simulation studies. The price of a European-style option is worked out, showing that the model has a sufficient flexibility to fit volatility surface. As an extension of the random information flow model, price manipulation is considered. A simple model is used to show how the skewness of the manipulated and unmanipulated price processes take opposite signature.
---
PDF链接：
https://arxiv.org/pdf/1009.3810
京公网安备 11010802022788号
