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| Title: | | A parsimonious model for intraday European option pricing  |
| Authors: | | Scalas, Enrico Politi, Mauro |
| Issue Date: | | 2012 |
| Series/Report no.: | | Economics Discussion Papers 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. |
| Subjects: | | Option pricing high-frequency finance high-frequency trading computer trading jump-diffusion models pure-jump models continuous time random walks semi-Markov processes |
| JEL: | | G13 |
| Creative Commons License: | |  |
| Document Type: | | Working Paper |
| Appears in Collections: | | Economics: The Open-Access, Open-Assessment E-Journal - Discussion Papers
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