This paper compares the prices of lookback and barrier options under the Black-Scholes model and the autoregressive conditional binomial option pricing model. In the latter stock price dynamics follow a pure jump process with constant jump size and random time steps. Jump arrival times are described as an Autoregressive Conditional Duration process while conditional probabilities of up-moves and down-moves are modeled according to an Autoregressive Conditional Binomial process. The comparison is made with models fitted on intraday IBM stock data.

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

JEL : C41, D52, G13.