Asymmetric information and options
扩展了Kyle连续内幕交易模型，证明非对称信息会使期权无法通过套利定价，即使期权看似冗余，其引入也会导致标的资产波动率变为随机，从而无法动态复制期权。
In an extension of the Kyle (1985) model of continuous insider trading, it is shown that asymmetric information can make it impossible to price options by arbitrage. Even when an option would appear to be redundant, its introduction into the market can cause the volatility of the underlying asset to become stochastic. This eliminates the potential for dynamically replicating the option. The change in the price process of the asset reflects a change in the information transmitted by volume and prices when the option is traded.