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A Binomial Asset Pricing Model in a Categorical Setting

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  • Takanori Adachi
  • Katsushi Nakajima
  • Yoshihiro Ryu

Abstract

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.

Suggested Citation

  • Takanori Adachi & Katsushi Nakajima & Yoshihiro Ryu, 2019. "A Binomial Asset Pricing Model in a Categorical Setting," Papers 1905.01894, arXiv.org, revised Dec 2019.
    • Handle: RePEc:arx:papers:1905.01894
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