Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/55515 
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dc.contributor.authorScalas, Enricoen
dc.contributor.authorPoliti, Mauroen
dc.date.accessioned2012-02-16-
dc.date.accessioned2012-02-17T15:10:55Z-
dc.date.available2012-02-17T15:10:55Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen
dc.relation.ispartofseries|aEconomics Discussion Papers |x2012-14en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordOption pricingen
dc.subject.keywordhigh-frequency financeen
dc.subject.keywordhigh-frequency tradingen
dc.subject.keywordcomputer tradingen
dc.subject.keywordjump-diffusion modelsen
dc.subject.keywordpure-jump modelsen
dc.subject.keywordcontinuous time random walksen
dc.subject.keywordsemi-Markov processesen
dc.subject.stwOptionspreistheorieen
dc.subject.stwWertpapierhandelen
dc.subject.stwWirtschaftsmodellen
dc.subject.stwMarkovscher Prozessen
dc.subject.stwTheorieen
dc.titleA parsimonious model for intraday European option pricing-
dc.typeWorking Paperen
dc.identifier.ppn685572315en
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen
dc.identifier.repecRePEc:zbw:ifwedp:201214en

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