Pricing with Variance Gamma Information

@article{Hughston2020PricingWV,
  title={Pricing with Variance Gamma Information},
  author={Lane P. Hughston and Leandro S'anchez-Betancourt},
  journal={Risks},
  year={2020}
}
In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {Ft}t≥0 is generated by an information process {ξt}t≥0 defined in such a way that at some fixed time T an FT-measurable random variable XT is “revealed”. A cash flow HT is taken to depend on the market factor XT, and one considers the valuation of a financial asset that delivers HT at time T. The value of the asset St at any time t∈[0,T) is the discounted conditional expectation of HT with respect to… 

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