The weibull prior distribution on the information-based approach asset pricing model by brody hughston macrina

Mutijah, - and Suryo Guritno, - and Gunardi, - (2012) The weibull prior distribution on the information-based approach asset pricing model by brody hughston macrina. In: Proceeding International Conference on Mathematics, Statistics and its Applications, 2012.

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Abstract

This paper studied about the information-based approach asset pricing model. It is constructed by Brody,Hughston, and Macrina (BHM). Then it is called the BHM model or the BHM approach. In the BHM model, the asset price is defined as the value of cash flow at recent time based on the information in the market. The BHM model is constructed for the single cash flow case of an asset paying a single dividend at fixed time. Explicitly, the model is given by expectation of the upcoming dividend conditional at the market information filtration under the risk neutral probability measure. The information flow model containing the market information filtration is modelled as sum of information about dividends that they have been payed at past time (it is known the true information about dividends) and the noise information that there are in the market at recent time about the paying of the upcoming dividend. Using of Bayes formula is precisely to ascertain the value of cash flow ( the asset pricing ) at recent time based on the information about the dividends structure that have been payed at past time ( as prior distribution) and the noise information in the market about paying of the upcoming dividend. Furthermore, the structure dividends that they have been payed at past time ( as prior distribution) will ascertain the solution of the BHM model. Brody, Hughston, and Macrina have found the closed form solution to prior distribution i.e. Exponential distribution and Gamma distribution. This paper will express to prior distribution i.e Weibull distribution.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: The BHM model, The Weibull prior distribution
Subjects: 500 Natural sciences and mathematics > 510 Mathematics > 519 Probabilities and applied mathematics
Divisions: Fakultas Tarbiyah dan Ilmu Keguruan > Tadris Matematika
Depositing User: Restu Umar Fauzi
Date Deposited: 30 Mar 2017 01:19
Last Modified: 06 Nov 2019 01:56
URI: http://repository.iainpurwokerto.ac.id/id/eprint/2323

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