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Option pricing driven by a telegraph process with random jumps

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dc.creatorLópez, Oscarspa
dc.creatorRatanov, Nikita
dc.date.accessioned2020-05-25T23:55:50Z
dc.date.available2020-05-25T23:55:50Z
dc.date.created2012spa
dc.description.abstractIn this paper we propose a class of financial market models which are based on telegraph processes with alternating tendencies and jumps. It is assumed that the jumps have random sizes and that they occur when the tendencies are switching. These models are typically incomplete, but the set of equivalent martingale measures can be described in detail. We provide additional suggestions which permit arbitrage-free option prices as well as hedging strategies to be obtained. © Applied Probability Trust 2012.eng
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.1239/jap/1346955337
dc.identifier.issn219002
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/22231
dc.language.isoengspa
dc.relation.citationEndPage849
dc.relation.citationIssueNo. 3
dc.relation.citationStartPage838
dc.relation.citationTitleJournal of Applied Probability
dc.relation.citationVolumeVol. 49
dc.relation.ispartofJournal of Applied Probability, ISSN:219002, Vol.49, No.3 (2012); pp. 838-849spa
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84872176116&doi=10.1239%2fjap%2f1346955337&partnerID=40&md5=57966ea07d2130b9232a762ac90c453cspa
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.keywordEquivalent martingale measurespa
dc.subject.keywordHedgingspa
dc.subject.keywordJump-telegraph processspa
dc.subject.keywordOption pricingspa
dc.titleOption pricing driven by a telegraph process with random jumpsspa
dc.typearticleeng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaArtículospa
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