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Scalas, Enrico and Politi, Mauro (2013) A note on intraday option pricing. International Journal of Applied Nonlinear Science, 1 (1). pp. 76-86. ISSN 1752-2862
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Official URL: http://dx.doi.org/10.1504/IJANS.2013.052763
Abstract
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.
Item Type: | Article |
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Schools and Departments: | School of Mathematical and Physical Sciences > Mathematics |
Subjects: | Q Science > QA Mathematics > QA0273 Probabilities. Mathematical statistics |
Depositing User: | Enrico Scalas |
Date Deposited: | 24 Sep 2014 05:55 |
Last Modified: | 21 May 2020 14:09 |
URI: | http://sro.sussex.ac.uk/id/eprint/50237 |