Derivatives pricing with marked point processes using tick-by-tick data
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2012.661447
Reference25 articles.
1. Modelling Financial High Frequency Data Using Point Processes
2. The Fine Structure of Asset Returns: An Empirical Investigation
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4. Time-changed Lévy processes and option pricing
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