Option Pricing with a General Market Point Process

This paper examines the impact of a random number of stock prices changes on the valuation formula for options. The model introduces the structure of the general marked point process (MPP). The kind of models allows to take in account more general distributions of time interarrival: they need no longer to be deterministic or exponential with a constant parameter like in usual jump-diffusions models.

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Year of publication:	1997
Authors:	Prigent, J.L.
Institutions:	Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
Subject:	PRICES \| STOCKS

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Series:	Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
Type of publication:	Book / Working Paper
Notes:	34 pages
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005660703