A note on intraday option pricing

DOI10.1504/IJANS.2013.052763zbMath1287.91146arXiv1202.4332MaRDI QIDQ2450791

Enrico Scalas, Mauro Politi

Publication date: 16 May 2014

Published in: International Journal of Applied Nonlinear Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.4332

zbMATH Keywords

option pricingsemi-Markov processeshigh-frequency tradingjump-diffusion modelscontinuous-time random walkshigh-frequency financecomputer tradingpure-jump models

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Markov renewal processes, semi-Markov processes (60K15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Switching phenomena in a system with no switches ⋮ Limit theorems for prices of options written on semi-Markov processes

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