期刊名称：Birkbeck Working Papers in Economics and Finance / School of Economics, Mathematics and Statistics, Birkbeck College
印刷版ISSN：1745-8587
出版年度：2007
卷号：2007
出版社：London University
摘要：We propose a model for stock price dynamics that explicitly incorporates random
waiting times between trades, also known as duration, and show how option prices
can be calculated using this model. We use ultra-high-frequency data for
blue-chip companies to motivate a particular choice of waiting-time distribution
and then calibrate risk-neutral parameters from options data. We also show that
the convexity commonly observed in implied volatilities may be explained by the
presence of duration between trades. Furthermore, we find that, ceteris paribus,
implied volatility decreases in the presence of longer durations, a result
consistent with the findings of Engle (2000) and Dufour and Engle (2000) which
demonstrates the relationship between levels of activity and volatility for
stock prices.
