Information-time option pricing: Theory and empirical evidence

Journal of Financial Economics

Volumn 48, Issue 2, 1998, Pages 211-242

  Chang, Carolyn W ^a,b   Chang, Jack S K ^a,c   Lim, Kian Guan ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b CALIFORNIA STATE UNIVERSITY   (United States)

^c CALIFORNIA STATE UNIVERSITY   (United States)

Author keywords

G13; Information arrival speed; Information time; Option pricing; Stochastic time change; Stochastic volatility

Indexed keywords

EID: 0002515113     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0304-405x(98)00009-9     Document Type: Article

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