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- W2890716632 abstract "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." @default.
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- W2890716632 date "1997-03-01" @default.
- W2890716632 modified "2023-09-27" @default.
- W2890716632 title "Heterogeneous Information Arrival and Option Pricing" @default.
- W2890716632 doi "https://doi.org/10.3386/w5950" @default.
- W2890716632 hasPublicationYear "1997" @default.
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