A note on intraday option pricing
by Enrico Scalas; Mauro Politi
International Journal of Applied Nonlinear Science (IJANS), Vol. 1, No. 1, 2013

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.

Online publication date: Wed, 30-Jul-2014

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