Abstract
This paper develops a subordinated stochastic process model for asset prices, where the directing process is identified as information. Motivated by recent empirical and theoretical work, we make use of the under-used market statistic of transaction count as a suitable proxy for the information flow. An option pricing formula is derived, and comparisons with stochastic volatility models are drawn.
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© 2002 Springer-Verlag Berlin Heidelberg
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Howison, S., Lamper, D. (2002). Trading Volume in Models of Financial Derivatives. In: Anile, A.M., Capasso, V., Greco, A. (eds) Progress in Industrial Mathematics at ECMI 2000. Mathematics in Industry, vol 1. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-04784-2_5
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DOI: https://doi.org/10.1007/978-3-662-04784-2_5
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-07647-3
Online ISBN: 978-3-662-04784-2
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