Hughston, Lane P.; Sánchez-Betancourt, Leandro - In: Risks : open access journal 8 (2020) 4/105, pp. 1-22
In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {F t } t≥0 {Ft}t≥0 is generated by an information process {ξ t } t≥0 {ξt}t≥0 defined in such a way that at some fixed time T an F T FT -measurable random variable X T XT is "revealed". A cash...
