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Information-time option pricing: theory and empirical evidence

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  • Chang, Carolyn W.
  • S.K. Chang, Jack
  • Lim, Kian-Guan

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  • Chang, Carolyn W. & S.K. Chang, Jack & Lim, Kian-Guan, 1998. "Information-time option pricing: theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 48(2), pages 211-242, May.
    • Handle: RePEc:eee:jfinec:v:48:y:1998:i:2:p:211-242
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    8. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Simon H. Yen & Jai Jen Wang, 2007. "General Equilibrium Stock Index Futures Pricing Allowing for Event Risk," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 6(2), pages 103-119, August.
    2. Feng-Tse Tsai, 2019. "Option Implied Stock Buy-Side and Sell-Side Market Depths," Risks, MDPI, vol. 7(4), pages 1-16, October.
    3. Câmara, António, 2009. "Two counters of jumps," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 456-463, March.
    4. Yao, Jingtao & Li, Yili & Tan, Chew Lim, 2000. "Option price forecasting using neural networks," Omega, Elsevier, vol. 28(4), pages 455-466, August.
    5. Chou-Wen Wang & Ting-Yi Wu, 2007. "An Alternative Formulation for the Pricing of Stock Index Futures: Theoretical and Empirical Perspectives," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 6(2), pages 121-134, August.
    6. Sam Howison & David Lamper, 2001. "Trading volume in models of financial derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(2), pages 119-135.
    7. Jagannathan, Raj, 2008. "A class of asset pricing models governed by subordinate processes that signal economic shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3820-3846, December.
    8. Yen, Simon & Wang, Jai Jen, 2009. "Information-time based futures pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3826-3836.

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