Information-time option pricing: theory and empirical evidence1We would like to thank Robert Merton, Peter Ritchken, L. Sankarasubramanian, David Shimko, and Mark Weinstein for useful discussions. We are indebted to John B. Long, Jr. (the editor) and Robert Whaley (the referee) for detailed and constructive comments and suggestions. Any remaining errors are the responsibility of the authors.1