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On financial markets based on telegraph processes
| dc.creator | Ratanov, Nikita | |
| dc.creator | Melnikov, Alexander | spa |
| dc.date.accessioned | 2020-05-26T00:01:15Z | |
| dc.date.available | 2020-05-26T00:01:15Z | |
| dc.date.created | 2008 | spa |
| dc.description.abstract | The paper develops a new class of financial market models. These models are based on generalised 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.mimetype | application/pdf | |
| dc.identifier.doi | https://doi.org/10.1080/17442500701841156 | |
| dc.identifier.issn | 17442516 | |
| dc.identifier.issn | 17442508 | |
| dc.identifier.uri | https://repository.urosario.edu.co/handle/10336/23339 | |
| dc.language.iso | eng | spa |
| dc.relation.citationEndPage | 268 | |
| dc.relation.citationIssue | No. 43892 | |
| dc.relation.citationStartPage | 247 | |
| dc.relation.citationTitle | Stochastics | |
| dc.relation.citationVolume | Vol. 80 | |
| dc.relation.ispartof | Stochastics, ISSN:17442516, 17442508, Vol.80, No.43892 (2008); pp. 247-268 | spa |
| dc.relation.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-40249102161&doi=10.1080%2f17442500701841156&partnerID=40&md5=0c77877a8a921a8ca2e86f5d12724ea4 | spa |
| dc.rights.accesRights | info:eu-repo/semantics/openAccess | |
| dc.rights.acceso | Abierto (Texto Completo) | spa |
| dc.source.instname | instname:Universidad del Rosario | spa |
| dc.source.reponame | reponame:Repositorio Institucional EdocUR | spa |
| dc.subject.keyword | Black-Scholes model | spa |
| dc.subject.keyword | Hedging | spa |
| dc.subject.keyword | Jump telegraph process | spa |
| dc.subject.keyword | Option pricing | spa |
| dc.title | On financial markets based on telegraph processes | spa |
| dc.type | article | eng |
| dc.type.hasVersion | info:eu-repo/semantics/publishedVersion | |
| dc.type.spa | Artículo | spa |
