English, Article, Journal or magazine article edition: An Autoregressive Conditional Binomial Option Pricing Model Olivier Renault; Jean-Luc Prigent; Olivier Scaillet

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Bookmark: http://trove.nla.gov.au/version/45412
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • An Autoregressive Conditional Binomial Option Pricing Model
Author
  • Olivier Renault
  • Jean-Luc Prigent
  • Olivier Scaillet
Physical Description
  • preprint
Notes
  • optimal matching
  • RePEc:crs:wpaper:99-65
  • This paper offers an option pricing framework grounded in econometric microstructure modelling. We consider a model where stock price dynamics follow a pure jump process with constant jump size similar to a binomial setting with random time steps. Jump arrival times are described as an Autoregressive Conditional Duration (ACD) process while conditional probabilities of up-moves and down-moves are given by the logistic transformation of an autoregressive prices. We derive no-arbitrage pricing formulae under the minimal martingale measure and illustrate the use of our Autoregressive Conditional Binomial (ACB) option pricing model on intraday IBM stock date.
  • RePEc:fmg:fmgdps:dp364
Language
  • English
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