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On Financial Markets Based on Telegraph Processes, Quantitative Finance Papers

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dc.creatorRatanov, Nikitaspa
dc.creatorMelnikov, Alexanderspa
dc.date.accessioned2020-09-11T21:05:39Z
dc.date.available2020-09-11T21:05:39Z
dc.date.created2007-01-01spa
dc.description.abstractThe paper develops a new class of financial market models. These models are based on generalized telegraph processes: Markov random flows with alternating velocities and jumps occurring when the velocities are switching. While such markets may admit an arbitrage opportunity, the model under consideration is arbitrage-free and complete if directions of jumps in stock prices are in a certain correspondence with their velocity and interest rate behaviour. An analog of the Black-Scholes fundamental differential equation is derived, but, in contrast with the Black-Scholes model, this equation is hyperbolic. Explicit formulas for prices of European options are obtained using perfect and quantile hedging.eng
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/29849
dc.language.isoeng
dc.publisherCornell UNiversityspa
dc.relation.citationEndPage21
dc.relation.citationStartPage1
dc.relation.citationTitleOn Financial Markets Based on Telegraph Processes, Quantitative Finance Papers
dc.relation.ispartofOn Financial Markets Based on Telegraph Processes, Quantitative Finance Papers (dicimebre 2007); pp. 1- 21spa
dc.relation.urihttps://www.researchgate.net/publication/1904269_On_Financial_Markets_Based_on_Telegraph_Processesspa
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)spa
dc.sourceOn Financial Markets Based on Telegraph Processes, Quantitative Finance Papersspa
dc.source.instnameinstname:Universidad del Rosario
dc.source.reponamereponame:Repositorio Institucional EdocUR
dc.subject.keywordOption Pricingspa
dc.subject.keywordJump Telegraph Processspa
dc.subject.keywordHedgingspa
dc.titleOn Financial Markets Based on Telegraph Processes, Quantitative Finance Papersspa
dc.title.TranslatedTitleSobre mercados financieros basados ??en procesos telegráficos, artículos financieros cuantitativosspa
dc.typepreprinteng
dc.type.hasVersioninfo:eu-repo/semantics/draft
dc.type.spaPre-printspa
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