Option pricing driven by a telegraph process with random jumps

Oscar López, Nikita Ratanov

Resultado de la investigación: Contribución a RevistaArtículo

9 Citas (Scopus)

Resumen

In this paper we propose a class of financial market models which are based on telegraph processes with alternating tendencies and jumps. It is assumed that the jumps have random sizes and that they occur when the tendencies are switching. These models are typically incomplete, but the set of equivalent martingale measures can be described in detail. We provide additional suggestions which permit arbitrage-free option prices as well as hedging strategies to be obtained. © Applied Probability Trust 2012.
Idioma originalEnglish (US)
Páginas (desde-hasta)838-849
Número de páginas12
PublicaciónJournal of Applied Probability
DOI
EstadoPublished - sep 1 2012

Huella dactilar

Option Pricing
Jump
Equivalent Martingale Measure
Market Model
Arbitrage
Hedging
Financial Markets
Option pricing
Model
Class
Strategy
Hedging strategies
Market model
Equivalent martingale measure
Price strategy
Option hedging
Option prices
Financial markets

Citar esto

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Option pricing driven by a telegraph process with random jumps. / López, Oscar; Ratanov, Nikita.

En: Journal of Applied Probability, 01.09.2012, p. 838-849.

Resultado de la investigación: Contribución a RevistaArtículo

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