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• W2233136858 abstract "To model intraday stock price movements we propose a class of marked doubly stochastic Poisson processes, whose intensity process can be interpreted in terms of the effect of information release on market activity. Assuming a partial information setting in which market agents are restricted to observe only the price process, a filtering algorithm is applied to compute, by Monte Carlo approximation, contingent claim prices, when the dynamics of the price process is given under a martingale measure. In particular, conditions for the existence of the minimal martingale measure Q are derived, and properties of the model under Q are studied." @default.
• W2233136858 created "2016-06-24" @default.
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• W2233136858 date "2012-05-01" @default.
• W2233136858 modified "2023-09-23" @default.
• W2233136858 title "MONTE CARLO DERIVATIVE PRICING WITH PARTIAL INFORMATION IN A CLASS OF DOUBLY STOCHASTIC POISSON PROCESSES WITH MARKS" @default.
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• W2233136858 doi "https://doi.org/10.1142/s0219024912500185" @default.
• W2233136858 hasPublicationYear "2012" @default.
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