Ítem
Acceso Abierto
Jump telegraph processes and financial markets with memory
Archivos
Fecha
2007-08-09
Directores
ISSN de la revista
Título del volumen
Editor
Buscar en:
Métricas alternativas
Resumen
Abstract
The paper develops a new class of financial market models. These models are based on generalized telegraph processes with alternating velocities and jumps occurring at switching velocities. The model under consideration is arbitrage-free and complete if the directions of jumps in stock prices are in a certain correspondence with their velocity and with the behaviour of the interest rate. A risk-neutral measure and arbitrage-free formulae for a standard call option are constructed. This model has some features of models with memory, but it is more simple.
Palabras clave
Jump telegraph process , Financial market , Standard call option , Stock price , Interest rate , Unrestricted use
