masterThesis
Modelo telegráfico de valoración de opciones
Fecha
2011Autor
López Alfonso, Oscar Javier
Institución
Resumen
In this work we present a class of financial market models whichare based on inhomogeneous telegraph processes with jumps. It isassumed that the jumps have either deterministic or random sizes and they occur whenthe tendencies are switching. Such a model captures well the stockprice dynamics under periodic financial cycles. We provide a closedform of the structure of the set of risk-neutral measures and the exact formulae for the European options prices.