Jump Telegraph-Diffusion Option Pricing

Ratanov, Nikita

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Jump Telegraph-Diffusion Option Pricing

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dc.creator	Ratanov, Nikita	spa
dc.date.accessioned	2020-09-11T21:05:39Z
dc.date.available	2020-09-11T21:05:39Z
dc.date.created	2008-01-01	spa
dc.description.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].	eng
dc.format.mimetype	application/pdf
dc.identifier.uri	https://repository.urosario.edu.co/handle/10336/29848
dc.language.iso	eng
dc.publisher	Universitá degli Studi di Milano	spa
dc.relation.citationTitle	Research Papers in Economics, Business, and Statistics
dc.relation.ispartof	Research Papers in Economics, Business, and Statistics (2008);	spa
dc.relation.uri	https://www.researchgate.net/publication/4729084_Jump_Telegraph-Diffusion_Option_Pricing	spa
dc.rights.accesRights	info:eu-repo/semantics/openAccess
dc.rights.acceso	Abierto (Texto Completo)	spa
dc.source	Research Papers in Economics, Business, and Statistics	spa
dc.source.instname	instname:Universidad del Rosario
dc.source.reponame	reponame:Repositorio Institucional EdocUR
dc.subject.keyword	Markov Switching	spa
dc.subject.keyword	Jump Telegraph	spa
dc.subject.keyword	Diffusion Model	spa
dc.title	Jump Telegraph-Diffusion Option Pricing	spa
dc.title.TranslatedTitle	Precio de la opción Jump Telegraph-Diffusion	spa
dc.type	preprint	eng
dc.type.hasVersion	info:eu-repo/semantics/draft
dc.type.spa	Pre-print	spa