Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks
To model intraday stock price movements we propose a class of marked doubly stochastic Poisson processes, whose intensity process can be interpreted in terms of the effect of information release on market activity. Assuming a partial information setting in which market agents are restricted to observe only the price process, a filtering algorithm is applied to compute, by Monte Carlo approximation, contingent claim prices, when the dynamics of the price process is given under a martingale measure. In particular, conditions for the existence of the minimal martingale measure Q are derived, and properties of the model under Q are studied.
|Date of creation:||Dec 2010|
|Date of revision:|
|Contact details of provider:|| Postal: Vicolo Campofiore, 2 - I-37129 Verona|
Web page: http://www.dse.univr.it
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ver:wpaper:22/2010. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael Reiter)
If references are entirely missing, you can add them using this form.