In financial markets not only returns, but also waiting times between consecutive trades are random variables and it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of high-frequency prices. Based on these considerations some results are outlined which can be useful for speculative option valuation.

Speculative option valuation and the fractional diffusion equation

MAINARDI, FRANCESCO;
2005

Abstract

In financial markets not only returns, but also waiting times between consecutive trades are random variables and it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of high-frequency prices. Based on these considerations some results are outlined which can be useful for speculative option valuation.
2005
Fractional Differentiation and its Applications
265
274
E. Scalas; R. Gorenflo; F. Mainardi; M.M. Meerschaert
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/18116
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