CECI, CLAUDIA; GERARDI, ANNA - In: International Journal of Theoretical and Applied … 12 (2009) 02, pp. 179-207
The problem of the arbitrage-free pricing of a European contingent claim B is considered in a general model for intraday stock price movements in the case of partial information. The dynamics of the risky asset price is described through a marked point process Y, whose local characteristics...