A jump telegraph model for option pricing

Nikita Ratanov

Resultado de la investigación: Contribución a una revistaArtículo

33 Citas (Scopus)

Resumen

In this paper we introduce a financial market model based on continuous time random motions with alternating constant velocities and jumps occurring when the velocities are switching. This model is free of arbitrage if jump directions are in a certain correspondence with the velocities of the underlying random motion. Replicating strategies for European options are constructed in detail. Exact formulae for option prices are derived.
Idioma originalInglés estadounidense
Páginas (desde-hasta)575-583
Número de páginas9
PublicaciónQuantitative Finance
DOI
EstadoPublicada - oct 1 2007

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