Kato, Takashi; Sekine, Jun; Yamamoto, Hiromitsu - In: Asia-Pacific Financial Markets 21 (2014) 2, pp. 151-174
A one-factor asset pricing model with an Ornstein–Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting speed parameters are modeled as hidden/unobservable stochastic variables. No-arbitrage pricing formulas for derivative...