Asymmetric Information about Volatility and Option Markets

Nandi, Saikat
December 1995
Working Paper Series (Federal Reserve Bank of Atlanta);Dec95, Vol. 1995 Issue 19, p1
Working Paper
Working Paper
Presents a model of asymmetric information in which an investor has information regarding the future volatility of the price process of an asset but not the future asset price. Depth of the option market; Expected average variance.


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