Option pricing with a general marked point process

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Option pricing with a general marked point process

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J. L. Prigent

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Jean-Luc Prigent

Abstract

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Publisher Info
Paper provided by THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise in its series THEMA Working Papers with number 97-36.

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Date of creation: 1997
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Handle: RePEc:ema:worpap:97-36

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Paper
- Prigent, J.L., 1997. "Option Pricing with a General Market Point Process," Papers 9736, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany. [Downloadable!]
Other versions:
- Hurvich, Clifford & Wang, Yi, 2009. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 12575, University Library of Munich, Germany. [Downloadable!]
P. Bertrand & J.L. Prigent, 2000. "Portfolio Insurance : The extreme Value of the CCPI Method," THEMA Working Papers 2000-49, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]

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This page was last updated on 2009-12-21.

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