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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1998
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| Subjects: | |
| 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 |