Heterogeneous information arrival and option pricing
نویسندگان
چکیده
منابع مشابه
Asset Pricing Under Heterogeneous Information
In an asset market where agents have heterogeneous information, asset prices not only depend their expectations of the true fundamentals but also depend on their expectations of the expectations of others. Iterations of such expectations lead to the so-called “infinite regress” problem, which makes the analysis of asset pricing under heterogenous information challenging. In this paper, we solve...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1998
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(97)00073-0