摘要翻译：
提出了一种新的资产价格动力学框架，该框架中引入了未来现金流噪声信息的概念来推导价格过程。在这个框架中，资产是由其现金流结构定义的。每个现金流都是由一个随机变量模拟的，这个随机变量可以表示为称为市场因素的独立随机变量集合的函数。每一个这样的“X-因子”都与一个市场信息过程相关联，其价值对市场代理人来说是可以获得的。每个信息过程是两个项的总和；一个包含关于市场因素价值的真实信息；另一个代表“噪音”。噪声项采用独立的布朗桥建模。假定市场过滤是由独立信息过程的总和所产生的。资产的价格是由风险中性度量中的现金流贴现预期给出的，条件是市场过滤提供的信息。当现金流是与股票相关的股利支付时，得到了股票价格的显式模型，并导出了股利支付资产的期权价格。值得注意的是，欧式看涨期权的价格公式是Black-Scholes-Merton型的。基于信息的框架也为随机波动性的起源提供了自然的解释。
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英文标题：
《Information-Based Asset Pricing》
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作者：
Dorje C. Brody, Lane P. Hughston, Andrea Macrina
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Mathematics        数学
二级分类：Statistics Theory        统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Statistics        统计学
二级分类：Statistics Theory        统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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英文摘要：
  A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow is modelled by a random variable that can be expressed as a function of a collection of independent random variables called market factors. With each such "X-factor" we associate a market information process, the values of which are accessible to market agents. Each information process is a sum of two terms; one contains true information about the value of the market factor; the other represents "noise". The noise term is modelled by an independent Brownian bridge. The market filtration is assumed to be that generated by the aggregate of the independent information processes. The price of an asset is given by the expectation of the discounted cash flows in the risk-neutral measure, conditional on the information provided by the market filtration. When the cash flows are the dividend payments associated with equities, an explicit model is obtained for the share-price, and the prices of options on dividend-paying assets are derived. Remarkably, the resulting formula for the price of a European call option is of the Black-Scholes-Merton type. The information-based framework also generates a natural explanation for the origin of stochastic volatility.
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PDF链接：
https://arxiv.org/pdf/0704.1976