全球智库信息集成服务系统(G2TT): Heterogeneous Information Arrival and Option Pricing

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w5950
来源ID	Working Paper 5950
	Heterogeneous Information Arrival and Option Pricing
	Patrick K. Asea; Mthuli Ncube
发表日期	1997-03-01
出版年	1997
语种	英语
摘要	We model the arrival of heterogeneous information in a financial market as a doubly-stochastic Poisson process (DSPP). A DSPP is a member of the family of Poisson processes in which the mean value of the process itself is governed by a stochastic mechanism. We explore the implications for pricing stock, index and foreign currency options of the assumption that the under- lying security evolves as a mixed diffusion DSPP. We derive an intertemporal CAPM and demonstrate that accounting for heterogeneous information arrival may minimize the ubiquitous pricing bias 'smile-effect' of standard option pricing models. We propose a conceptually simple but numerically intensive maximum likelihood estimator of the parameters of a DSPP. A simulation study verifies the adequacy of the asymptotic approximations in finite samples.
主题	Financial Economics ; Financial Markets ; Microeconomics ; General Equilibrium
URL	https://www.nber.org/papers/w5950
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/563451
推荐引用方式 GB/T 7714	Patrick K. Asea,Mthuli Ncube. Heterogeneous Information Arrival and Option Pricing. 1997.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w5950.pdf（1388KB）	智库出版物		限制开放	CC BY-NC-SA	浏览