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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Scalas, Enrico | en |
dc.contributor.author | Politi, Mauro | en |
dc.date.accessioned | 2012-02-16 | - |
dc.date.accessioned | 2012-02-17T15:10:55Z | - |
dc.date.available | 2012-02-17T15:10:55Z | - |
dc.date.issued | 2012 | - |
dc.identifier.uri | http://hdl.handle.net/10419/55515 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aKiel Institute for the World Economy (IfW) |cKiel | en |
dc.relation.ispartofseries | |aEconomics Discussion Papers |x2012-14 | en |
dc.subject.jel | G13 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Option pricing | en |
dc.subject.keyword | high-frequency finance | en |
dc.subject.keyword | high-frequency trading | en |
dc.subject.keyword | computer trading | en |
dc.subject.keyword | jump-diffusion models | en |
dc.subject.keyword | pure-jump models | en |
dc.subject.keyword | continuous time random walks | en |
dc.subject.keyword | semi-Markov processes | en |
dc.subject.stw | Optionspreistheorie | en |
dc.subject.stw | Wertpapierhandel | en |
dc.subject.stw | Wirtschaftsmodell | en |
dc.subject.stw | Markovscher Prozess | en |
dc.subject.stw | Theorie | en |
dc.title | A parsimonious model for intraday European option pricing | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 685572315 | en |
dc.rights.license | http://creativecommons.org/licenses/by-nc/2.0/de/deed.en | en |
dc.identifier.repec | RePEc:zbw:ifwedp:201214 | en |
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