摘要: In an extension of the Kyle (1985) model continuous insider trading, it is shown that asymmetric information can make impossible to price options by arbitrage. Even when option would appear be redundant, its introduction into market cause volatility underlying asset become stochastic. This eliminates potential for dynamically replicating option. The change in process reflects a transmitted volume and prices traded. Article published Oxford University Press on behalf Society Financial Studies journal, Review Studies.
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