ENLARGEMENT OF FILTRATION AND ADDITIONAL INFORMATION
IN PRICING MODELS


Ludmila VOSTRIKOVA (joint with E. VALKEILA and D. GASBARRA)
Université d'Angers
Angers, France


ABSTRACT

We consider initial enlargement of filtration and we use bayesian approach to obtain some new proofs and results, in particular, for Levy processes. These results are applied to study different kinds of additional information in pricing models.



Back to the Workshop's Program