Jump telegraph processes and financial markets with memory

Nikita Ratanov

Resultado de la investigación: Contribución a una revistaArtículo

9 Citas (Scopus)

Resumen

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
DOI
EstadoPublicada - dic 1 2007

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