Ítem
Acceso Abierto
A jump telegraph model for option pricing
Título de la revista
Autores
Ratanov, Nikita
Archivos
Fecha
2004-11
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Editor
Editorial Universidad del Rosario
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Métricas alternativas
Resumen
Abstract
In this paper we introduce a financial market model based on continuos time random motions with alternanting constant velocities and with jumps ocurring when the velocity switches. if jump directions are in the certain corresondence with the velocity directions of the underlyng random motion with respect to the interest rate, the model is free of arbitrage. The replicating strategies for options are constructed in details. Closed form formulas for the opcion prices are obtained.
