Ítem
Acceso Abierto
Jump Telegraph-Diffusion Option Pricing
Archivos
Fecha
2008-01-01
Directores
ISSN de la revista
Título del volumen
Editor
Universitá degli Studi di Milano
Buscar en:
Métricas alternativas
Resumen
Abstract
The 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].
Palabras clave
Keywords
Markov Switching , Jump Telegraph , Diffusion Model
