Abstract

http://ssrn.com/abstract=2007737
 
 

References (29)



 


 



A Parsimonious Model for Intraday European Option Pricing


Enrico Scalas


affiliation not provided to SSRN

Mauro Politi


International Christian University; Ecole Centrale Paris

2012

Economics Discussion Paper No. 2012-14

Abstract:     
A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the martingale price of a European call option. A complete derivation of this result is presented by means of elementary probabilistic tools.

Number of Pages in PDF File: 14

Keywords: Option pricing, high-frequency finance, high-frequency trading, computer trading, jump-diffusion models, pure-jump models, continuous time random walks, semi-Markov processes

JEL Classification: G13

working papers series





Download This Paper

Date posted: February 20, 2012  

Suggested Citation

Scalas, Enrico and Politi, Mauro, A Parsimonious Model for Intraday European Option Pricing (2012). Economics Discussion Paper No. 2012-14. Available at SSRN: http://ssrn.com/abstract=2007737 or http://dx.doi.org/10.2139/ssrn.2007737

Contact Information

Enrico Scalas (Contact Author)
affiliation not provided to SSRN
Mauro Politi
International Christian University ( email )
Osawa 3-10-2
Mitaka-shi
Tokyo, 181-8585
Japan
Ecole Centrale Paris ( email )
Paris
France
Feedback to SSRN


Paper statistics
Abstract Views: 372
Downloads: 50
References:  29

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.359 seconds