Heterogeneous information arrival and option pricing

DOI10.1016/S0304-4076(97)00073-0zbMath0930.62098MaRDI QIDQ1377317

Patrick K. Asea, Mthuli Ncube

Publication date: 13 February 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimationoption pricingsimulationsfinancial marketsdoubly stochastic Poisson processheterogeneous informationpricing bias

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

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