Derivatives pricing with marked point processes using tick-by-tick data
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Modelling Financial High Frequency Data Using Point Processes
- Option pricing when underlying stock returns are discontinuous
- Option pricing with Lévy-stable processes generated by Lévy-stable integrated variance
- Stochastic Volatility for Lévy Processes
- The Econometrics of Ultra-high-frequency Data
- Time Change Representation of Stochastic Integrals
Cited in
(28)- Numerical methods for pricing American options with time-fractional PDE models
- An explicit closed-form analytical solution for European options under the CGMY model
- Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
- Numerical solution of the time fractional Black-Scholes model governing European options
- Point process estimation with Mirror Prox algorithms
- Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation
- Touchard wavelet technique for solving time-fractional Black-Scholes model
- From tick data to semimartingales
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- Option pricing with a general marked point process.
- Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
- Semi-Markov model for market microstructure
- Limit theorems for prices of options written on semi-Markov processes
- scientific article; zbMATH DE number 7523973 (Why is no real title available?)
- On the analysis of Black-Scholes equation for European call option involving a fractional order with generalized two dimensional differential transform method
- Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
- Approximation of time fractional Black-Scholes equation via radial kernels and transformations
- Risk metrics and fine tuning of high-frequency trading strategies
- Recursive backward scheme for the solution of a BSDE with a non Lipschitz generator
- Compact finite difference schemes of the time fractional Black-Scholes model
- Computational algorithm for financial mathematical model based on European option
- Hahn hybrid functions for solving distributed order fractional Black–Scholes European option pricing problem arising in financial market
- Localized kernel-based meshless method for pricing financial options underlying fractal transmission system
- A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model
- A high order MQ quasi-interpolation method for time fractional Black-Scholes model
- On time-fractional partial differential equations of time-dependent piecewise constant order
- Counting jumps: does the counting process count?
- On the construction of a novel fourth-order compact scheme for the distributed-order time-fractional Black-Scholes model
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