Jump telegraph processes and financial markets with memory

Nikita Ratanov

Resultado de la investigación: Contribución a una revistaArtículo

9 Citas (Scopus)


The paper develops a new class of financial market models. These models are based on generalized telegraph processes with alternating velocities and jumps occurring at switching velocities. The model under consideration is arbitrage-free and complete if the directions of jumps in stock prices are in a certain correspondence with their velocity and with the behaviour of the interest rate. A risk-neutral measure and arbitrage-free formulae for a standard call option are constructed. This model has some features of models with memory, but it is more simple.
Idioma originalInglés estadounidense
PublicaciónJournal of Applied Mathematics and Stochastic Analysis
EstadoPublicada - dic 1 2007

    Huella digital

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