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

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.

preprint2014arXivOpen access
Takashi KatoJun SekineHiromitsu Yamamoto
q-fin.MFq-fin.PR
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Open access3 authors2 topics
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Takashi KatoJun SekineHiromitsu Yamamoto

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