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A One-Factor Conditionally Linear Commodity Pricing Model Under Partial Information

出版	SSRN, 2017
URL	http://books.google.com.hk/books?id=k1YAzwEACAAJ&hl=&source=gbs_api

註釋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 securities written on a liquid asset and exponential utility indifference pricing formulas for derivative securities written on an illiquid asset are presented. Moreover, a conditionally linear filtering result is introduced to compute the pricing/hedging formulas and the Bayesian estimators of the hidden variables.