Valuation and Information Acquisition Policy for Claims Written on Noisy Real Assets
研究当实物资产价值存在观测噪声时，如何对基于该资产的或有索取权进行估值，并分析信息获取对不可逆行权决策的影响，发现噪声会降低索取权价值并激励额外信息获取。
We study contingent claims written on real assets whose values are observed with noise and the acquisition of information to improve irreversible exercise decisions. We determine the conditional expected asset value and show that it can depend on historical observed values. In a noisy setting, claim values are calculated by simply adjusting the asset value and variance inputs and applying standard valuation procedures for pricing European and American options. Noise tends to slow the rate of information arrival, reduce contingent claim value, and provide incentives to purposefully acquire additional information. These incentives are illustrated for the case of secured risky debt. The value of acquired information increases when the option holder is indifferent between exercise alternatives, and decreases as one choice increasingly dominates the other. Opportunities to repeatedly acquire information reduce over- or underinvestment in information.