2017/07/06 by Tomoyuki Ichiba, Seyyed Mostafa Mousavi, Ichiba, Tomoyuki +1
Economics, Econometrics and Finance · #Capital Investment and Risk Analysis #Economic theories and models #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1707.01600
openalex publication_date 2017/07/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/04
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.