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A note on intraday option pricing
journal contribution
posted on 2023-06-08, 18:24 authored by Enrico Scalas, Mauro PolitiCompound 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.
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Publication status
- Published
Journal
International Journal of Applied Nonlinear ScienceISSN
1752-2862Publisher
Inderscience EnterprisesExternal DOI
Issue
1Volume
1Page range
76-86Department affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2014-09-24Usage metrics
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