Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks

DOI10.1142/S0219024912500185MaRDI QIDQ2892976zbMATH OpenFDO

Authors Silvia Centanni, Marco Minozzo

Publication date 25 June 2012

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024912500185

zbMATH Keywords

marked point processminimal martingale measurenews arrivalnonlinear filteringreversible jump Markov chain Monte Carloultra-high frequency data

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A general version of the fundamental theorem of asset pricing
• A modelling framework for the prices and times of trades made of the New York stock exchange
• A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes
• Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• scientific article; zbMATH DE number 802908 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Option pricing with a general marked point process.
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Risk minimization with incomplete information in a model for high-frequency data

Cited in

(4)

• Heterogeneous information arrival and option pricing
• Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
• m-Double Poisson Lévy markets
• Derivatives pricing with marked point processes using tick-by-tick data

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