A note on intraday option pricing (Q2450791)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on intraday option pricing |
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A note on intraday option pricing (English)
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16 May 2014
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Summary: Compound renewal processes can be used as an approximate phenomenological model of tick-by-tick price fluctuations. An exact and explicit general formula is derived for the martingale price of a European call option written on a compound renewal process. The option price is obtained using the direct method of indicator functions. The applicability of this result is discussed.
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option pricing
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high-frequency finance
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high-frequency trading
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computer trading
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jump-diffusion models
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pure-jump models
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continuous-time random walks
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semi-Markov processes
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