论文标题
通用过滤及其应用于二项式资产定价模型
Generalized Filtrations and Its Application to Binomial Asset Pricing Models
论文作者
论文摘要
我们介绍了广义过滤，我们可以用这种情况来表示某些特定时间的信息，例如某些代理商忘记了信息。过滤定义为函数的类别概率，其对象都是概率空间，其箭头对应于满足绝对连续需求的可测量函数[Adachi and Ryu，2019]。作为广义过滤的应用，我们开发了二项式资产定价模型，并调查了这种非标准过滤的财务索赔的估值。
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.
