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Information-Based Model with Noisy Anticipation and Its Application in Finance
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Information-Based Model with Noisy Anticipation and Its Application in Finance
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Journal Article
Information-Based Model with Noisy Anticipation and Its Application in Finance
2018
Overview
We focus on an information-based model with noisy anticipation motivated by asset valuation problem. Precisely, the price of an asset is computed from the expectation of the totality of discounted future dividend, conditioned on the market filtration generated by (1) the current and past value of dividend, and (2) a partial information of the future cash flow stream. As a result, we obtained a new solution method to compute a generalized asset pricing formula. Moreover, under a certain condition, the formula can be reduced to a simple form, a linear combination between dividend and noisy anticipation. The approach can be applied to approximate a reasonable price of the commodities even without knowing the actual demand and supply.
Publisher
Springer Nature B.V
Subject
