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dc.creatorRatanov, Nikita 
dc.date.accessioned2015-10-16T15:19:03Z
dc.date.available2015-10-16T15:19:03Z
dc.date.created2004-11
dc.date.issued2004
dc.identifier.urihttp://repository.urosario.edu.co/handle/10336/11296
dc.description.abstractIn this paper we introduce a financial market model based on continuos time random motions with alternanting constant velocities and with jumps ocurring when the velocity switches. if jump directions are in the certain corresondence with the velocity directions of the underlyng random motion with respect to the interest rate, the model is free of arbitrage. The replicating strategies for options are constructed in details. Closed form formulas for the opcion prices are obtained.
dc.format.extent21 páginas
dc.format.mediumRecurso electrónico
dc.format.mimetypeapplication/pdf
dc.language.isoeng
dc.relation.urihttps://ideas.repec.org/p/col/000091/001919.html
dc.sourceinstname:Universidad del Rosario
dc.sourcereponame:Repositorio Institucional EdocUR
dc.sourceinstname:Universidad del Rosario
dc.subject.ddcComunicaciones, Telecomunicaciones 
dc.subject.lembMercadeo::Toma de decisiones
dc.subject.lembPlanificación financiera
dc.subject.lembTelégrafo::Modelos Matemáticas
dc.titleA jump telegraph model for option pricing
dc.typeworkingPaper
dc.publisherEditorial Universidad del Rosario
dc.publisher.departmentUniversidad del Rosario. Facultad de Economía
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.type.spaDocumento de trabajo
dc.rights.accesoAbierto (Texto completo)
dc.type.hasVersioninfo:eu-repo/semantics/acceptedVersion
dc.format.tipoDocumento
dc.rights.ccAtribución-NoComercial-SinDerivadas 2.5 Colombia
dc.creator.googleRatanov, Nikita
dc.relation.citationTitleEconomía. Serie Documentos, Borradores de Investigación


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