This paper offers an option pricing framework grounded in econometric microstructure modelling. We consider a model where stock price dynamics follow a pure jump process with constant jump size similar to a binomial setting with random time steps. Jump arrival times are described as an Autoregressive Conditional Duration (ACD) process while conditional probabilities of up-moves and down-moves are given by the logistic transformation of an autoregressive process. We derive no-arbitrage pricing formulae under the minimal martingale measure and illustrate the use of our Autoregressive Conditional Binomial (ACB) option pricing model on intraday IBM stock data.

Keywords : incomplete market, option pricing, minimal martingale measure, marked point process, microstructure, high frequency data, ACD model, volatility smile...

JEL : C41, D52, G13.