Derivatives pricing with marked point processes using tick-by-tick data
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Publication:5746746
DOI10.1080/14697688.2012.661447zbMath1280.91164OpenAlexW2105376214MaRDI QIDQ5746746
Publication date: 8 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/7583
Processes with independent increments; Lévy processes (60G51) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance
- Modelling Financial High Frequency Data Using Point Processes
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Time Change Representation of Stochastic Integrals
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- The Econometrics of Ultra-high-frequency Data
- Stochastic Volatility for Lévy Processes
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
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