A jump telegraph model for option pricing

Nikita Ratanov

doi:10.1080/14697680600991226

A jump telegraph model for option pricing

Nikita Ratanov

Universidad del Rosario

Producción científica: Contribución a una revista › Artículo › revisión exhaustiva

49 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 original	Inglés estadounidense
Páginas (desde-hasta)	575-583
Número de páginas	9
Publicación	Quantitative Finance
Volumen	7
N.º	5
DOI	https://doi.org/10.1080/14697680600991226
Estado	Publicada - oct. 2007

Áreas temáticas de ASJC Scopus

Finanzas
Economía, econometría y finanzas (todo)

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10.1080/14697680600991226

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abstract = "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.",

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A jump telegraph model for option pricing

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