摘要翻译：
在本文中，我们将发展一种方法来获得金融工具的定价表达式，其基础资产可以通过一个简单的连续时间随机游走(CTRW)市场模型来描述。我们的方法对这个问题非常自然，因为它是基于更新方程的使用，因此它增强了CTRW技术在金融中的潜在用途。我们在一个特殊但有例证的情况下，为典型的合同规范求解这些方程。我们还展示了如何为更多奇异的衍生品找到一个正式的通用解决方案，并比较了潜在的替代模型的价格。最后，我们在一定的限制下恢复了Wiener过程的著名结果。
---
英文标题：
《Renewal equations for option pricing》
---
作者：
Miquel Montero
---
最新提交年份：
2008
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
--

---
英文摘要：
  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.
---
PDF链接：
https://arxiv.org/pdf/0711.2624