Information-Time Option Pricing: Theory and Empirical Evidence

• المؤلفون الرئيسيون: CHANG, Carolyn W., CHANG, Jack S. K, LIM, Kian Guan
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 1998
• الموضوعات: Information-time; Information arrival speed; Option pricing; Stochastic time change; Stochastic volatility; Business; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/2261; https://doi.org/10.1016/s0304-405x(98)00009-9
• المؤسسة: Singapore Management University

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...