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About Option Pricing in A World With Arbitrage: IBM, T.J. Watson Research Center Yorktown, NY 10598, USA
This document discusses a new model for option pricing that accounts for the role of information in financial markets. The model augments the Black-Scholes model by adding a hidden Markov process to represent the state of information among investors. When information is shared, volatility is lower, but when some investors have private information, volatility is higher. The authors show how this two-state model allows for potential arbitrage opportunities. They also describe how new securities that pay off when the information state changes can complete the market. Finally, they provide the unique arbitrage-free price of a European option under this new model.
Detailed Information
| Author: | ['postscript'] |
|---|---|
| Publication Year: | 2008 |
| Pages: | 8 |
| Language: | English |
| Format: | |
| Price: | FREE |
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