Telegraph models of financial markets

dc.contributorFacultad de Economía
dc.creatorRatanov, Nikita
dc.date.accessioned2018-02-14T18:08:55Z
dc.date.available2018-02-14T18:08:55Z
dc.date.created2018-02-14T18:08:55Z
dc.date.issued2001
dc.identifier2357-4100
dc.identifierhttp://repository.urosario.edu.co/handle/10336/14379
dc.description.abstractIn this paper we develop a financial market model based on continuous time random motions with alternating constant velocities and with jumps occurring when the velocity switches. If jump directions are in the certain correspondence with the velocity directions of the underlying random motion with respect to the interest rate, the model is free of arbitrage and complete. Memory effects of this model are discussed.
dc.languageeng
dc.relationRevista Colombiana De Matemáticas, ISSNe 2357-4100 Volumen 41 (2007), páginas 247–252
dc.relationhttp://www.scielo.org.co/PDF/rcm/v41s1/v41s1a07.PDF
dc.rightshttps://revistas.unal.edu.co/index.php/recolma/about/editorialPolicies#openAccessPolicy
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rightsAbierto (Texto Completo)
dc.subjectJump telegraph process
dc.subjectEuropean option pricing
dc.subjectPerfect hedging
dc.subjectSelf-Financing strategy
dc.subjectFundamental equation
dc.subjectHistorical volatility
dc.titleTelegraph models of financial markets
dc.typearticle


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