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A note on intraday option pricing
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
A note on intraday option pricing
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
A parsimonious model for intraday European option pricing
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 complete
derivation of this result is presented by means of elementary probabilistic
tools.Comment: Submitted to Economics E-Journal:
http://www.economics-ejournal.org/economics/discussionpapers/2012-1
The Finite-time Ruin Probabilities of a Bidimensional risk model with Constant Interest Force and correlated Brownian Motions
We follow some recent works to study bidimensional perturbed compound Poisson
risk models with constant interest force and correlated Brownian Motions.
Several asymptotic formulae for three different type of ruin probabilities over
a finite-time horizon are established.
Our approach appeals directly to very recent developments in the ruin theory
in the presence of heavy tails of unidimensional risk models and the dependence
theory of stochastic processes and random vectors.Comment: 25page
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