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Jump telegraph processes and financial markets with memory

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dc.contributor.gruplacFacultad de Economía spa
dc.creatorRatanov, Nikita
dc.creator.googleRatanov, Nikita
dc.date.accessioned2018-02-14T18:14:04Z
dc.date.available2018-02-14T18:14:04Z
dc.date.created2007-08-09
dc.date.issued2007
dc.description.abstractThe paper develops a new class of financial market models. These models are based on generalized telegraph processes with alternating velocities and jumps occurring at switching velocities. The model under consideration is arbitrage-free and complete if the directions of jumps in stock prices are in a certain correspondence with their velocity and with the behaviour of the interest rate. A risk-neutral measure and arbitrage-free formulae for a standard call option are constructed. This model has some features of models with memory, but it is more simple.eng
dc.format.mimetypeapplication/pdf
dc.identifier.issn1048-9533
dc.identifier.urihttp://repository.urosario.edu.co/handle/10336/14380
dc.language.isoeng
dc.relation.citationEndPage30
dc.relation.citationStartPage1
dc.relation.citationTitleJournal Of Applied Mathematics And Stochastic Analysis
dc.relation.citationVolumeVol. 2007
dc.relation.ispartofJournal Of Applied Mathematics And Stochastic Analysis, ISSN 1048-9533 Volume 2007 pp. 1-30spa
dc.relation.urihttps://www.hindawi.com/journals/ijsa/2007/072326/abs/
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)spa
dc.rights.cchttps://about.hindawi.com/authors/open-access/spa
dc.rights.urihttp://www.sherpa.ac.uk/romeo/issn/148-9533/es/
dc.source.instnameinstname:Universidad del Rosario
dc.source.reponamereponame:Repositorio Institucional EdocUR
dc.subjectJump telegraph processspa
dc.subjectFinancial marketspa
dc.subjectStandard call optionspa
dc.subjectStock pricespa
dc.subjectInterest ratespa
dc.subjectUnrestricted usespa
dc.subject.ddcEconomía financiera
dc.subject.lembMercado financierospa
dc.subject.lembModelos econométricosspa
dc.titleJump telegraph processes and financial markets with memoryspa
dc.typearticleeng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaArtículospa
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