Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach

Dario Gasbarra (), Esko Valkeila () and Lioudmila Vostrikova ()
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Dario Gasbarra: University of Helsink, Department of Mathematics and Statistics
Esko Valkeila: University of Technology, Institute of Mathematics
Lioudmila Vostrikova: Université d'Angers, Departement de Mathématiques

A chapter in From Stochastic Calculus to Mathematical Finance, 2006, pp 257-285 from Springer

Keywords: Bayesian Approach; Local Martingale; Fubini Theorem; Initial Enlargement; Logarithmic Utility (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-30788-4_13

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DOI: 10.1007/978-3-540-30788-4_13

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