Option pricing with a general marked point process
AbstractThis paper examines the impact of a random number of stock prices changes on the valuation formula for options. The model introduces the structure of the general marked point process (MPP). The kind of models allows to take in account more general distributions of time interarrival: they need no longer to be deterministic or exponential with a constant parameter like in usual jump-diffusions models.
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Bibliographic InfoPaper provided by THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise in its series THEMA Working Papers with number 97-36.
Date of creation: 1997
Date of revision:
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Other versions of this item:
- 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..
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- 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.
- Alexander Aue & Lajos Horváth & Clifford Hurvich & Philippe Soulier, 2011. "Limit Laws in Transaction-Level Asset Price Models," Working Papers hal-00583372, HAL.
- Hurvich, Clifford & Wang, Yi, 2009.
"A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects,"
12575, University Library of Munich, Germany.
- 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.
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