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.
E. Scalas, R. Gorenflo, F. Mainardi, M.M. Meerschaert (2005). Speculative option valuation and the fractional diffusion equation. s.l : U-BOOKS.
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.File in questo prodotto:
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