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A note on intraday option pricing

journal contribution
posted on 2023-06-08, 18:24 authored by Enrico Scalas, Mauro Politi
Compound renewal processes can be used as an approximate phenomenological model of tick-by-tick price fluctuations. An exact and explicit general formula is derived for the martingale price of a European call option written on a compound renewal process. The option price is obtained using the direct method of indicator functions. The applicability of this result is discussed.

History

Publication status

  • Published

Journal

International Journal of Applied Nonlinear Science

ISSN

1752-2862

Publisher

Inderscience Enterprises

Issue

1

Volume

1

Page range

76-86

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2014-09-24

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