search query: @author Ncube, M. / total: 3
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| Author: | Asea, P. Ncube, M. |
| Title: | Heterogeneous information arrival and option pricing |
| Journal: | Journal of Econometrics
1998 : MAR-APR, VOL. 83:1-2, p. 291-324 |
| Index terms: | INFORMATION PRICING STOCHASTIC PROCESSES |
| Language: | eng |
| Abstract: | The authors 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. The authors explore the implications for pricing stock, index and foreign currency options of the assumption that the underlying security evolves as a mixed diffusion DSPP. The authors derive a intertemporal CAPM and demonstrate that accounting for heterogeneous information arrival may minimize the ubiquitous pricing bias - "smile effect" - of standard option pricing models. |
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