@techreport{Scalas2012parsimonious,
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.},
address = {Kiel},
author = {Enrico Scalas and Mauro Politi},
copyright = {http://creativecommons.org/licenses/by-nc/2.0/de/deed.en},
keywords = {G13; 330; Option pricing; high-frequency finance; high-frequency trading; computer trading; jump-diffusion models; pure-jump models; continuous time random walks; semi-Markov processes; Optionspreistheorie; Wertpapierhandel; Wirtschaftsmodell; Markovscher Prozess; Theorie},
language = {eng},
number = {2012-14},
publisher = {Kiel Institute for the World Economy (IfW)},
title = {A parsimonious model for intraday European option pricing},
type = {Economics Discussion Papers},
url = {http://hdl.handle.net/10419/55515},
year = {2012}
}
