2026-04-17T06:04:00Zhttps://recercat.cat/oai/request

oai:recercat.cat:2445/341592025-11-19T20:25:47Zcom_2072_1057col_2072_478822col_2072_478917

00925njm 22002777a 4500 dc Montero Torralbo, Miquel author 2013-03-08T12:52:53Z 2013-03-08T12:52:53Z 2008 2013-03-08T12:52:53Z In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural to the issue because it is based in the use of renewal equations, and therefore it enhances the potential use of CTRW techniques in finance. We solve these equations for typical contract specifications, in a particular but exemplifying case. We also show how a formal general solution can be found for more exotic derivatives, and we compare prices for alternative models of the underlying. Finally, we recover the celebrated results for the Wiener process under certain limits. Rutes aleatòries (Matemàtica) Processos estocàstics Economia Random walks (Mathematics) Stochastic processes Economics Renewal equations for option pricing