摘要翻译：
在金融市场中，有价值的信息很少均匀地传播，因为信息传播需要时间。然而，通信技术的进步意味着重要信息的“寿命”通常很短。因此，作为一种可交易的资产，信息具有易腐商品的特征：尽管它可以自由地储存和传播，但它的价值会随着时间的推移而迅速减少。鉴于互联网搜索引擎和其他信息提供者向金融机构提供信息的最新发展，信息定价问题变得越来越重要。考虑到这一点，引入了一种新的效用-无差别论元，并将其作为定价信息的基础。具体地说，我们把信息看作是一个把先验分布转换成后验分布的量。然后，信息量可以用相对熵来量化。效用无差异论证的关键是将为信息付出一定代价后的最大后验效用与基于先验最优策略的效用的后验期望等同起来。这个公式导致一个价格为一个给定数量的上行信息；和一定数量的下跌信息的另一个价格。通过简单的例子说明了这些想法。
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英文标题：
《Theory of Information Pricing》
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作者：
Dorje C. Brody and Yan Tai Law
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  In financial markets valuable information is rarely circulated homogeneously, because of time required for information to spread. However, advances in communication technology means that the 'lifetime' of important information is typically short. Hence, viewed as a tradable asset, information shares the characteristics of a perishable commodity: while it can be stored and transmitted freely, its worth diminishes rapidly in time. In view of recent developments where internet search engines and other information providers are offering information to financial institutions, the problem of pricing information is becoming increasingly important. With this in mind, a new formulation of utility-indifference argument is introduced and used as a basis for pricing information. Specifically, we regard information as a quantity that converts a prior distribution into a posterior distribution. The amount of information can then be quantified by relative entropy. The key to our utility indifference argument is to equate the maximised a posterior utility, after paying certain cost for the information, with the a posterior expectation of the utility based on the a priori optimal strategy. This formulation leads to one price for a given quantity of upside information; and another price for a given quantity of downside information. The ideas are illustrated by means of simple examples.
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PDF链接：
https://arxiv.org/pdf/1106.5706