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How Does Duration Between Trades of Underlying Securities Affect Option Prices. (2007). Cartea, Álvaro ; Meyer-Brandis, Thilo.
In: Birkbeck Working Papers in Economics and Finance.
RePEc:bbk:bbkefp:0721.

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  3. Can, Peter, and Dilip Madan, 1999, Option Valuation Using the Fast Fourier Transform, Journal of Computational Finance 2, 61-73.
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  4. Can, Peter, and Liuren Wu, 2003, The Finite Moment Logstable Process and Option Pricing, The Journal of Finance LVIII, 753-777.

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  7. Cont, Rama, and Peter Tankov, 2004, Financial Modelling With Jump Processes. (Chapman and Hall London) 1st edn.
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  8. Diamond, Douglas W., and Robert E. Venechia, 1987, Constraints on short-selling and asset price adjustment to private information, Journal of Financial Economics 18, 277-3 11.

  9. Dufour, Alfonso, and Robert F. Engle, 2000, Time and the Price Impact of a Trade, The Journal of Finance LV, 2467-2498.

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  13. Jacobsen, Martin, 2006, Point Process Theory and Applications. (Birkhäuser).
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  15. Mainardi, Francesco, Marco Raberto, Rudolg Gorenflo, and Enrico Scalas, 2000, Fractional Calculus and Continuous-time Finance II: the waiting-time distribution, Physica A 287, 469-48 1.

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