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On financial markets based on telegraph processes
The paper develops a new class of financial market models. These models are based on generalised telegraph processes: Markov random flows with alternating velocities and jumps occurring when the velocities are switching. ...
Asymptotic behaviour of the time-fractional telegraph equationJOURNAL OF APPLIED PROBABILITYJ APPL PROBAB
(APPLIED PROBABILITY TRUST, 2016)
Option pricing in market models driven by telegraph processes with jumps
(Universidad del RosarioDoctorado en EconomíaFacultad de Economía, 2014)
This thesis is divided into two parts: the first part is devoted to present the telegraph processes, the Poisson processes with telegraph compensator and the jump-telegraph processes. The study presented in this first part ...
On the Generalized Mittag-Leffler Function and its Application in a Fractional Telegraph Equation
(SpringerDordrechtHolanda, 2012)
Damped jump-telegraph processes
We study a one-dimensional Markov modulated random walk with jumps. It is assumed that the amplitudes of the jumps as well as the chosen velocity regime are random, and depend on the time spent by the process at the previous ...
Valoración de opciones europeas en el modelo telegráfico con saltos doble exponenciales vía transformada de Laplace
(Bogotá - Ciencias - Maestría en Actuaría y FinanzasDepartamento de MatemáticasUniversidad Nacional de Colombia - Sede Bogotá, 2020-08-13)
This thesis studies the application of the Laplace transform for the valuation of European call and put options in the telegraphic model with constant and random jumps, where the jumps in the price of the underlying asset ...