Option Pricing with Delayed Information

Tomoyuki Ichiba and Seyyed Mostafa Mousavi

Papers from arXiv.org

Abstract: We propose a model to study the effects of delayed information on option pricing. We first talk about the absence of arbitrage in our model, and then discuss super replication with delayed information in a binomial model, notably, we present a closed form formula for the price of convex contingent claims. Also, we address the convergence problem as the time-step and delay length tend to zero and introduce analogous results in the continuous time framework. Finally, we explore how delayed information exaggerates the volatility smile.

Date: 2017-07
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1707.01600

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