How Duration Between Trades of Underlying Securities Affects Option Prices*
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Publication:3063960
DOI10.1093/rof/rfp013zbMath1205.91155OpenAlexW3125136489MaRDI QIDQ3063960
Álvaro Cartea, Thilo Meyer-Brandis
Publication date: 17 December 2010
Published in: Review of Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/12058
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
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Trade duration risk in subdiffusive financial models ⋮ Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative ⋮ Modelling Asset Prices for Algorithmic and High-Frequency Trading ⋮ A subdiffusive stochastic volatility jump model ⋮ Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure ⋮ An explicit closed-form analytical solution for European options under the CGMY model ⋮ Semi-Markov Model for Market Microstructure ⋮ RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
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