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On jump-diffusion processes with regime switching: Martingale approach

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dc.creatordi Crescenzo A.spa
dc.creatorRatanov N.spa
dc.date.accessioned2020-05-26T00:07:30Z
dc.date.available2020-05-26T00:07:30Z
dc.date.created2015spa
dc.description.abstractWe study jump-diffusion processes with parameters switching at random times. Being motivated by possible applications, we characterise equivalent martingale measures for these processes by means of the relative entropy. The minimal entropy approach is also developed. It is shown that in contrast to the case of Lévy processes, for this model an Esscher transformation does not produce the minimal relative entropy.eng
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/24007
dc.language.isoengspa
dc.publisherInstituto Nacional de Matematica Pura e Aplicadaspa
dc.relation.citationEndPage596
dc.relation.citationIssueNo. 2
dc.relation.citationStartPage573
dc.relation.citationTitleAlea (Rio de Janeiro)
dc.relation.citationVolumeVol. 12
dc.relation.ispartofAlea (Rio de Janeiro), Vol.12, No.2 (2015); pp. 573-596spa
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84953719412&partnerID=40&md5=c650a874bb1c76021b85be79b5a169a1spa
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.keywordJump-diffusion processspa
dc.subject.keywordJump-telegraph processspa
dc.subject.keywordMartingalesspa
dc.subject.keywordNancial modellingspa
dc.subject.keywordRelative entropyspa
dc.titleOn jump-diffusion processes with regime switching: Martingale approachspa
dc.typearticleeng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaArtículospa
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