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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書目詳細資料
Main Authors:	CHANG, Carolyn W., CHANG, Jack S. K, LIM, Kian Guan
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 1998
主題:	Information-time Information arrival speed Option pricing Stochastic time change Stochastic volatility Business Finance and Financial Management
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/2261 https://doi.org/10.1016/s0304-405x(98)00009-9
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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