A jump telegraph model for option pricing

Ratanov, Nikita

doi:https://doi.org/10.48713/10336_11296

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A jump telegraph model for option pricing

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dc.creator	Ratanov, Nikita
dc.creator.google	Ratanov, Nikita
dc.date.accessioned	2015-10-16T15:19:03Z
dc.date.available	2015-10-16T15:19:03Z
dc.date.created	2004-11
dc.date.issued	2004
dc.description.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.	eng
dc.format.extent	21 páginas	spa
dc.format.medium	Recurso electrónico	spa
dc.format.mimetype	application/pdf
dc.format.tipo	Documento	spa
dc.identifier.doi	https://doi.org/10.48713/10336_11296
dc.identifier.uri	http://repository.urosario.edu.co/handle/10336/11296
dc.language.iso	eng
dc.publisher	Editorial Universidad del Rosario	spa
dc.publisher.department	Universidad del Rosario. Facultad de Economía	spa
dc.relation.citationTitle	Economía. Serie Documentos, Borradores de Investigación
dc.relation.uri	https://ideas.repec.org/p/col/000091/001919.html
dc.rights.accesRights	info:eu-repo/semantics/openAccess
dc.rights.acceso	Abierto (Texto completo)	spa
dc.rights.cc	Atribución-NoComercial-SinDerivadas 2.5 Colombia	spa
dc.source.instname	instname:Universidad del Rosario	spa
dc.source.instname	instname:Universidad del Rosario	spa
dc.source.reponame	reponame:Repositorio Institucional EdocUR	spa
dc.subject.ddc	Comunicaciones, Telecomunicaciones
dc.subject.lemb	Mercadeo::Toma de decisiones	spa
dc.subject.lemb	Planificación financiera	spa
dc.subject.lemb	Telégrafo::Modelos Matemáticas	spa
dc.title	A jump telegraph model for option pricing	spa
dc.type	workingPaper	eng
dc.type.hasVersion	info:eu-repo/semantics/acceptedVersion
dc.type.spa	Documento de trabajo	spa