Search Results - subject:"continuous time random walks"

A parsimonious model for intraday European option pricing

Scalas, Enrico; Politi, Mauro - 2012

A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the martingale price of a European call option. A...

Persistent link: https://www.econbiz.de/10010308122

A parsimonious model for intraday European option pricing

Scalas, Enrico; Politi, Mauro - Institut für Weltwirtschaft (IfW) - 2012

Persistent link: https://www.econbiz.de/10009646512

Stochastic integration for uncoupled continuous-time random walks

Scalas, Enrico; Germano, Guido; Politi, Mauro; … - Volkswirtschaftliche Fakultät, … - 2008

Continuous-time random walks are pure-jump processes with several applications in physics, but also in insurance … continuous-time random walks. The martingale properties of the integral are investigated. Finally, it is shown how the definition …

Persistent link: https://www.econbiz.de/10005626830