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dc.contributor.authorScalas, Enricoen_US
dc.contributor.authorPoliti, Mauroen_US
dc.date.accessioned2012-02-16en_US
dc.date.accessioned2012-02-17T15:10:55Z-
dc.date.available2012-02-17T15:10:55Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/55515-
dc.description.abstractA 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.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofseriesEconomics Discussion Papers 2012-14en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordOption pricingen_US
dc.subject.keywordhigh-frequency financeen_US
dc.subject.keywordhigh-frequency tradingen_US
dc.subject.keywordcomputer tradingen_US
dc.subject.keywordjump-diffusion modelsen_US
dc.subject.keywordpure-jump modelsen_US
dc.subject.keywordcontinuous time random walksen_US
dc.subject.keywordsemi-Markov processesen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwWirtschaftsmodellen_US
dc.subject.stwMarkovscher Prozessen_US
dc.subject.stwTheorieen_US
dc.titleA parsimonious model for intraday European option pricingen_US
dc.typeWorking Paperen_US
dc.identifier.ppn685572315en_US
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen_US
dc.identifier.repecRePEc:zbw:ifwedp:201214-
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