Information-time option pricing: theory and empirical evidence

• 成果类型: Article
• 署名作者: Chang, CW; Chang, JSK; Lim, KG
• 署名单位: National University of Singapore; California State University System; California State University Fullerton; California State University System; California State University Los Angeles
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00009-9
• 发表日期: 1998
• 页码: 211-242
• 关键词: information-time; information arrival speed; option pricing; stochastic time change; stochastic volatility

摘要

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 parameters, information arrival intensity and information-time asset volatility, with stochastic volatility induced by random information arrival. When the information arrival rate intensifies, the option price increases and vice-versa. We test the formula in pricing, hedging, and excess profits capture empirically using currency and the S&P 500 futures options transaction data. (C) 1998 Elsevier Science S.A. All rights reserved.