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Option pricing in market models driven by telegraph processes with jumps

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dc.contributor.advisorRatanov, Nikita
dc.creatorLópez Alfonso, Oscar Javier
dc.creator.degreeDoctor en Economía
dc.date.accessioned2016-05-04T19:04:08Z
dc.date.available2016-05-04T19:04:08Z
dc.date.created2014-08-26
dc.date.issued2014
dc.descriptionEsta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.spa
dc.description.abstractThis thesis is divided into two parts: the first part is devoted to present the telegraph processes, the Poisson processes with telegraph compensator and the jump-telegraph processes. The study presented in this first part includes the calculation of the distributions of each process, the means and variances, as well as the moment generating functions among other properties. The second part of the work is devoted to the option pricing models based on telegraph processes with jumps. In this part we show how to calculate the risk-neutral measures, find the no-arbitrage condition in this type of models and finally the price of European call and put options is calculated.eng
dc.description.sponsorshipFondo de Investigación de la Universidad del Rosario proyecto DVG-140spa
dc.description.sponsorshipFondo de Investigación de la Universidad del Rosario proyecto DVG-097spa
dc.description.sponsorshipColciencias - Doctorados Nacionalesspa
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.48713/10336_11954
dc.identifier.urihttp://repository.urosario.edu.co/handle/10336/11954
dc.language.isospa
dc.publisherUniversidad del Rosariospa
dc.publisher.departmentFacultad de Economíaspa
dc.publisher.programDoctorado en Economíaspa
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto completo)spa
dc.rights.ccAtribución-NoComercial 2.5 Colombiaspa
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dc.source.instnameinstname:Universidad del Rosario
dc.source.reponamereponame:Repositorio Institucional EdocUR
dc.subjectProcesos telegráficosspa
dc.subjectProcesos de Poissonspa
dc.subjectProcesos telegráficos con saltosspa
dc.subjectValoración de opcionesspa
dc.subject.ddcAnálisis
dc.subject.keywordTelegraph processeseng
dc.subject.keywordPoisson processeseng
dc.subject.keywordJump-telegraph processeseng
dc.subject.keywordOption pricingeng
dc.subject.lembProcesos de Poissonspa
dc.subject.lembProcesos telegráficosspa
dc.titleOption pricing in market models driven by telegraph processes with jumpsspa
dc.typedoctoralThesiseng
dc.type.hasVersioninfo:eu-repo/semantics/acceptedVersion
dc.type.spaTesis de doctoradospa
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