Heterogeneous Information Arrival and Option Pricing
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We model the arrival of heterogeneous information in a financial market as a doubly-stochastic Poisson process (DSPP). A DSPP is a member of the family of Poisson processes in which the mean value of the process itself is governed by a stochastic mechanism. We explore the implications for pricing
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美国国家经济研究局创建时间：
1997-03-01
