A parsimonious model for intraday European option pricing
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- Enrico Scalas & Mauro Politi, 2012. "A parsimonious model for intraday European option pricing," Papers 1202.4332, arXiv.org.
References listed on IDEAS
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More about this item
Keywords
Option pricing; high-frequency finance; high-frequency trading; computer trading; jump-diffusion models; pure-jump models; continuous time random walks; semi-Markov processes;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2012-02-20 (Market Microstructure)
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