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Telegraph Processes with Random Jumps and Complete Market Models

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dc.creatorRatanov, Nikita
dc.date.accessioned2020-05-25T23:57:02Z
dc.date.available2020-05-25T23:57:02Z
dc.date.created2015spa
dc.description.abstractWe propose a new generalisation of jump-telegraph process with variable velocities and jumps. Amplitude of the jumps and velocity values are random, and they depend on the time spent by the process in the previous state of the underlying Markov process. This construction is applied to markets modelling. The distribution densities and the moments satisfy some integral equations of the Volterra type. We use them for characterisation of the equivalent risk-neutral measure and for the expression of historical volatility in various settings. The fundamental equation is derived by similar arguments. Historical volatilities are computed numerically. © 2013, Springer Science+Business Media New York.eng
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.1007/s11009-013-9388-x
dc.identifier.issn13875841
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/22586
dc.language.isoengspa
dc.publisherKluwer Academic Publishersspa
dc.relation.citationEndPage695
dc.relation.citationIssueNo. 3
dc.relation.citationStartPage677
dc.relation.citationTitleMethodology and Computing in Applied Probability
dc.relation.citationVolumeVol. 17
dc.relation.ispartofMethodology and Computing in Applied Probability, ISSN:13875841, Vol.17, No.3 (2015); pp. 677-695spa
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84938977688&doi=10.1007%2fs11009-013-9388-x&partnerID=40&md5=fdd70a523c2dd0ed77161a97c0701231spa
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)spa
dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subject.keywordCompound poisson processspa
dc.subject.keywordDependence on the pastspa
dc.subject.keywordHistorical volatilityspa
dc.subject.keywordInhomogeneous Jump-telegraph processspa
dc.titleTelegraph Processes with Random Jumps and Complete Market Modelsspa
dc.typearticleeng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaArtículospa
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