论文标题
与知情交易者的市场价格定价
Option Pricing in Markets with Informed Traders
论文作者
论文摘要
本文的目的是在动态资产定价理论的框架内介绍具有知情交易者的市场定价理论。我们为整个市场中的知情交易者提供新的型号，以考虑股价方向和股票收益平均值的信息。黑色 - chcholes-Merton选项定价理论是针对知情交易者的市场扩展的，在这种市场中，价格流程遵循连续扩散。通过这样做，可以解决期权定价中的不连续难题。使用市场期权数据，我们估计了股票上流概率的隐含表面，隐含的平均股票回报表面以及隐含的交易者信息强度表面。
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete markets where we consider traders with information on the stock price direction and stock return mean. The Black-Scholes-Merton option pricing theory is extended for markets with informed traders, where price processes are following continuous-diffusions. By doing so, the discontinuity puzzle in option pricing is resolved. Using market option data, we estimate the implied surface of the probability for a stock upturn, the implied mean stock return surface, and implied trader information intensity surface.
