Jump Telegraph-Diffusion Option Pricing

dc.creatorRatanov, Nikita
dc.date.accessioned2020-09-11T21:05:39Z
dc.date.accessioned2022-09-22T14:16:42Z
dc.date.available2020-09-11T21:05:39Z
dc.date.available2022-09-22T14:16:42Z
dc.date.created2020-09-11T21:05:39Z
dc.identifierhttps://repository.urosario.edu.co/handle/10336/29848
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/3437363
dc.description.abstractThe paper develops a class of financial market models with jumps based on aBrownian motion, and inhomogeneous telegraph processes: random motions withalternating velocities. We assume that jumps occur when the velocities are switch-ing. The distribution of such a process is described in detail. For this model weobtain the structure of the set of martingale measures. The model can be completedadding another asset based on the same sources of randomness. Explicit formulaefor prices of standard European options in completed market are obtained. (1) (PDF) Jump Telegraph-Diffusion Option Pricing. Available from: https://www.researchgate.net/publication/4729084_Jump_Telegraph-Diffusion_Option_Pricing [accessed Sep 01 2020].
dc.languageeng
dc.publisherUniversitá degli Studi di Milano
dc.relationResearch Papers in Economics, Business, and Statistics (2008);
dc.relationhttps://www.researchgate.net/publication/4729084_Jump_Telegraph-Diffusion_Option_Pricing
dc.relationResearch Papers in Economics, Business, and Statistics
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rightsAbierto (Texto Completo)
dc.sourceResearch Papers in Economics, Business, and Statistics
dc.sourceinstname:Universidad del Rosario
dc.sourcereponame:Repositorio Institucional EdocUR
dc.titleJump Telegraph-Diffusion Option Pricing
dc.typepreprint


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