A parsimonious model for intraday European option pricing
  A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the martingale price of a European call option. A complete derivation of this result is presented by means of elementary probabilistic tools. 
Enrico Scalas, Mauro Politi
q-fin.PR math.PR