Information-Time Option Pricing: Theory and Empirical Evidence

Information-Time Option Pricing: Theory and Empirical Evidence

With a stochastic time change from calendar-time to information-time, we derive a parsimonious option pricing formula with stochastic volatility as a risk-neutral Poisson sum of Merton's (1973) prices over the option's information-time maturity domain. The formula contains two unobservable...

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Bibliographic Details
Main Authors: CHANG, Carolyn W., CHANG, Jack S. K, LIM, Kian Guan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1998
Subjects:
Information-time
Information arrival speed
Option pricing
Stochastic time change
Stochastic volatility
Business
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/2261
https://doi.org/10.1016/s0304-405x(98)00009-9
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/2261
https://doi.org/10.1016/s0304-405x(98)00009-9

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