A Parsimonious Model for Intraday European Option Pricing

A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the martingale price of a European call option. A complete derivation of this result is presented by means of elementary probabilistic tools

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Year of publication:	2012
Authors:	Scalas, Enrico
Other Persons:	Politi, Mauro (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| EU-Staaten \| EU countries \| Volatilität \| Volatility \| Black-Scholes-Modell \| Black-Scholes model \| Optionsgeschäft \| Option trading

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Extent:	1 Online-Ressource (14 p)
Series:	Economics Discussion Paper ; No. 2012-14
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2012 erstellt
Other identifiers:	10.2139/ssrn.2007737 [DOI]
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013110478