Consolidating Information in Option Transactions

A truthful Screening Mechanism for Improving Information Asymmetry in Initial Public Offering Transactions

Information and option pricings

How can one relate stock fluctuations and information-based human activities? We present a model of an incomplete market by adjoining the Black-Scholes exponential Brownian motion model for stock fluctuations with a hidden Markov process, which represents the state of information in the investors’ community. The drift and volatility parameters take different values depending on the state of thi...

Consolidating Strengths

Editorial Consolidating Strengths I remember receiving a wonderful message from Cambridge University Press around three years ago – an invitation to take over as Editor of Medical History. I accepted almost instantaneously, but remember being nervous about the task at hand. At least as nervous as I had been whilst walking into a cage containing around fifty teenaged lions and lionesses with a g...

On Leland's strategy of option pricing with transactions costs

The limiting hedging error of Leland's strategy for the approximate pricing of a European call option is calculated in a market with transactions costs. It is not equal to zero when the level of transactions costs is a constant in a contradiction with the claim in ?]. 1. In his paper ?] devoted to the problem of option pricing in the presence of transactions costs Heyne Leland suggested a tradi...

Information Distance - Information Theory, IEEE Transactions on

While Kolmogorov complexity is the accepted absolute measure of information content in an individual finite object, a similarly absolute notion is needed for the information distance between two individual objects, for example, two pictures. We give several natural definitions of a universal information metric, based on length of shortest programs for either ordinary computations or reversible ...