arXiv subjects

Katsushi Nakajima

Publications and source records attributed to Katsushi Nakajima.

2 recordsLinked to original sources

arXiv2020

Generalized Filtrations and Its Application to Binomial Asset Pricing Models

We introduce generalized filtration with which we can represent situations such as some agents forget information at some specific time. The filtration is defined as a functor to a category Prob whose objects are all probability spaces and whose arrows correspond to measurable functions satisfying an absolutely continuous requirement [Adachi and Ryu, 2019]. As an application of a generalized filtration, we develop a binomial asset pricing model, and investigate the valuations of financial claims along this type of non-standard filtrations.

q-fin.MF↗

arXiv2019

A Binomial Asset Pricing Model in a Categorical Setting

Adachi and Ryu introduced a category Prob of probability spaces whose objects are all probability spaces and whose arrows correspond to measurable functions satisfying an absolutely continuous requirement in [Adachi and Ryu, 2019]. In this paper, we develop a binomial asset pricing model based on Prob. We introduce generalized filtrations with which we can represent situations such as some agents forget information at some specific time. We investigate the valuations of financial claims along this type of non-standard filtrations.

q-fin.MF↗