Derivatives pricing with marked point processes using Tick-by-tick data
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- Álvaro Cartea, 2013. "Derivatives pricing with marked point processes using tick-by-tick data," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 111-123, January.
References listed on IDEAS
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- Enrico Scalas & Mauro Politi, 2012.
"A parsimonious model for intraday European option pricing,"
- Scalas, Enrico & Politi, Mauro, 2012. "A parsimonious model for intraday European option pricing," Economics Discussion Papers 2012-14, Kiel Institute for the World Economy (IfW).
More about this item
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-17 (All new papers)
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