Information and Volatility: The No‐Arbitrage Martingale Approach to Timing and Resolution Irrelevancy
用无套利鞅方法分析信息流变化对资产价格和波动性的影响，扩展了萨缪尔森定理，并探讨不确定性解决无关性的条件，对资产定价研究者有参考价值。
ABSTRACT The no‐arbitrage martingale analysis is used to study the effect on asset prices of changes in the rate of information flow. The analysis is first used to develop some simple tools for asset pricing in a continuous‐time setting. These tools are then applied to determine the effect of information on prices and price volatility, to extend Samuelson's theorem on prices fluctuating randomly, and to study the impact on prices of the resolution of uncertainty. The conditions under which uncertainty resolution is irrelevant for asset pricing are shown to be similar to those which support the MM irrelevance theorems.