Renewal equations for option pricing

In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural to the issue because it is based in the use of renewal equati...

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Detalles Bibliográficos
Autor: Montero Torralbo, Miquel
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2008
País:España
Institución:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Repositorio:Recercat. Dipósit de la Recerca de Catalunya
OAI Identifier:oai:recercat.cat:2445/34159
Acceso en línea:https://hdl.handle.net/2445/34159
Access Level:acceso abierto
Palabra clave:Rutes aleatòries (Matemàtica)
Processos estocàstics
Economia
Random walks (Mathematics)
Stochastic processes
Economics
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spelling Renewal equations for option pricingMontero Torralbo, MiquelRutes aleatòries (Matemàtica)Processos estocàsticsEconomiaRandom walks (Mathematics)Stochastic processesEconomicsIn this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural to the issue because it is based in the use of renewal equations, and therefore it enhances the potential use of CTRW techniques in finance. We solve these equations for typical contract specifications, in a particular but exemplifying case. We also show how a formal general solution can be found for more exotic derivatives, and we compare prices for alternative models of the underlying. Finally, we recover the celebrated results for the Wiener process under certain limits.Springer Verlag2013201320082013info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersion19 p.application/pdfapplication/pdfhttps://hdl.handle.net/2445/34159Articles publicats en revistes (Física de la Matèria Condensada)reponame:Recercat. Dipósit de la Recerca de Catalunyainstname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)InglésVersió postprint del document publicat a: http://dx.doi.org/10.1140/epjb/e2008-00349-8European Physical Journal B, 2008, vol. 65, num. 2, p. 295-306http://dx.doi.org/10.1140/epjb/e2008-00349-8(c) Springer Verlag, 2008info:eu-repo/semantics/openAccessoai:recercat.cat:2445/341592026-05-29T05:05:01Z
dc.title.none.fl_str_mv Renewal equations for option pricing
title Renewal equations for option pricing
spellingShingle Renewal equations for option pricing
Montero Torralbo, Miquel
Rutes aleatòries (Matemàtica)
Processos estocàstics
Economia
Random walks (Mathematics)
Stochastic processes
Economics
title_short Renewal equations for option pricing
title_full Renewal equations for option pricing
title_fullStr Renewal equations for option pricing
title_full_unstemmed Renewal equations for option pricing
title_sort Renewal equations for option pricing
dc.creator.none.fl_str_mv Montero Torralbo, Miquel
author Montero Torralbo, Miquel
author_facet Montero Torralbo, Miquel
author_role author
dc.subject.none.fl_str_mv Rutes aleatòries (Matemàtica)
Processos estocàstics
Economia
Random walks (Mathematics)
Stochastic processes
Economics
topic Rutes aleatòries (Matemàtica)
Processos estocàstics
Economia
Random walks (Mathematics)
Stochastic processes
Economics
description In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural to the issue because it is based in the use of renewal equations, and therefore it enhances the potential use of CTRW techniques in finance. We solve these equations for typical contract specifications, in a particular but exemplifying case. We also show how a formal general solution can be found for more exotic derivatives, and we compare prices for alternative models of the underlying. Finally, we recover the celebrated results for the Wiener process under certain limits.
publishDate 2008
dc.date.none.fl_str_mv 2008
2013
2013
2013
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/34159
url https://hdl.handle.net/2445/34159
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Versió postprint del document publicat a: http://dx.doi.org/10.1140/epjb/e2008-00349-8
European Physical Journal B, 2008, vol. 65, num. 2, p. 295-306
http://dx.doi.org/10.1140/epjb/e2008-00349-8
dc.rights.none.fl_str_mv (c) Springer Verlag, 2008
info:eu-repo/semantics/openAccess
rights_invalid_str_mv (c) Springer Verlag, 2008
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 19 p.
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Springer Verlag
publisher.none.fl_str_mv Springer Verlag
dc.source.none.fl_str_mv Articles publicats en revistes (Física de la Matèria Condensada)
reponame:Recercat. Dipósit de la Recerca de Catalunya
instname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
instname_str Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
reponame_str Recercat. Dipósit de la Recerca de Catalunya
collection Recercat. Dipósit de la Recerca de Catalunya
repository.name.fl_str_mv
repository.mail.fl_str_mv
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