A parsimonious model for intraday European option pricing
Year of publication: |
2012
|
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Authors: | Scalas, Enrico ; Politi, Mauro |
Publisher: |
Kiel : Kiel Institute for the World Economy (IfW) |
Subject: | Optionspreistheorie | Wertpapierhandel | Wirtschaftsmodell | Markovscher Prozess | Theorie | Option pricing | high-frequency finance | high-frequency trading | computer trading | jump-diffusion models | pure-jump models | continuous time random walks | semi-Markov processes |
Series: | Economics Discussion Papers ; 2012-14 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 685572315 [GVK] hdl:10419/55515 [Handle] RePEc:zbw:ifwedp:201214 [RePEc] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: |
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