Tuesday June 19 2012
\n11:00
\nScuola Normale Superiore
\nAula Bianchi<\/p>\n
Enrico Scalas<\/strong> Abstract Download Flyer<\/strong><\/a> Download Slides<\/strong><\/a><\/p>\n","protected":false},"excerpt":{"rendered":" Tuesday June 19 2012 11:00 Scuola Normale Superiore Aula Bianchi Enrico Scalas DISIT, Universit\u00e0 del Piemonte Orientale and\u00a0Basque Center for Applied Mathematics, Bilbao Abstract A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact […]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[13],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/458"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=458"}],"version-history":[{"count":4,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/458\/revisions"}],"predecessor-version":[{"id":595,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/458\/revisions\/595"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=458"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=458"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=458"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}
\nDISIT, Universit\u00e0 del Piemonte Orientale and\u00a0Basque Center for Applied Mathematics, Bilbao<\/span><\/p>\n
\n<\/strong>A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the martingale price of a European call option. A complete derivation of this result is presented by means of elementary probabilistic tools.
\nReference: Scalas E. and Politi M. (2012).\u00a0A parsimonious model for intraday European option pricing<\/a>. Economics Discussion Papers, No 2012-14, Kiel Institute for the World Economy.<\/p>\n