首页/论文/2011.08531

arXiv 2011.085312020-11-17q-fin.MF

Generalized Filtrations and Its Application to Binomial Asset Pricing Models

Takanori Adachi, Katsushi Nakajima, Yoshihiro Ryu

备注：: 18 pages

英文摘要：

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.

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