A one-factor asset pricing model with an Ornstein--Uhlenbeck process as itsstate variable is studied under partial information: the mean-reverting leveland the mean-reverting speed parameters are modeled as hidden/unobservablestochastic variables. No-arbitrage pricing formulas for derivative securitieswritten on a liquid asset and exponential utility indifference pricing formulasfor derivative securities written on an illiquid asset are presented. Moreover,a conditionally linear filtering result is introduced to compute thepricing/hedging formulas and the Bayesian estimators of the hidden variables.
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