How Does Duration Between Trades of Underlying Securities Affect Option Prices
Year of publication: |
2007-12
|
---|---|
Authors: | Cartea, Alvaro ; Meyer-Brandis, Thilo |
Institutions: | Birkbeck, Department of Economics, Mathematics & Statistics |
Subject: | Duration between trades | waiting-times | high frequency data | Levy processes | option pricing | time changes | operational time | irregularly spaced data |
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