Option Pricing with a General Market Point Process

Jean-Luc Prigent

Working Papers from Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.

Abstract: This paper examines the impact of a random number of stock prices changes on the valuation formula for options. The model introduces the structure of the general marked point process (MPP). The kind of models allows to take in account more general distributions of time interarrival: they need no longer to be deterministic or exponential with a constant parameter like in usual jump-diffusions models.

Keywords: PRICES; STOCKS (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Pages: 34 pages
Date: 1997
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Option Pricing with a General Marked Point Process (2001)
Working Paper: Option pricing with a general marked point process (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pnegmi:9736

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