An Autoregressive Conditional Binomial Option Pricing Model.

This paper offers an option pricing framework grouded in econometric microstructure modelling. We consider a model where stock price dynamics follow a pure jump process with constant jump size similar to a binomial setting with random time steps.

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Year of publication:	1999
Authors:	Prigent, J.-L. ; Renault, O. ; Scaillet, O.
Subject:	STATISTICAL ANALYSIS \| GENERAL EQUILIBRIUM \| FINANCIAL MARKET

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Type of publication:	Book / Working Paper
Notes:	28 pages
Classification:	C41 - Duration Analysis ; D52 - Incomplete Markets ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005486766