@techreport{10336/11117,
author = {Ratanov, Nikita},
year = {2005},
url = {http://repository.urosario.edu.co/handle/10336/11117},
abstract = {In 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. Closed form formulas for the option prices and perfect hedging strategies are obtained. The quantile hedging strategies for options are constructed. This methodology is applied to the pricing and risk control of insurance instruments.},
booktitle = {Serie documentos. Borradores de investigación No 62 (Abril 2005)},
keywords = {cubrimiento perfecto},
keywords = {modelo telegráfico con saltos},
keywords = {ubrimiento quantile},
keywords = {contribución pura},
keywords = {seguro de vida unido por equidad},
title = {Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts},
publisher = {Editorial Universidad del Rosario},
keywords = {jump telegraph model},
keywords = {perfect hedging},
keywords = {quantile hedging},
keywords = {pure endowment},
keywords = {equity-linked life insurance},
}