Before revision:  We consider a vanilla option and find that its Merton-type price can be expressed by a weighted sum of vanilla prices based on the possible combinations of active information processes at option maturity. The constructed information-flow models lend themselves to the quantification of informational advantage in a competition where agents have asymmetric information flows.
After revision:  We consider a vanilla option and find that its Merton-type price can be expressed by a weighted sum of vanilla prices based on the possible state configurations at option expiry. This result may be viewed as an information-based analogue of Merton's option price, but where jump-diffusion arises endogenously. The proposed information flow models also lend themselves to the quantification of informational advantage in a competition where agents have asymmetric information flows.