Option pricing driven by a telegraph process with random jumps

Oscar López, Nikita Ratanov

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

13 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.

Idioma originalInglés estadounidense
Páginas (desde-hasta)838-849
Número de páginas12
PublicaciónJournal of Applied Probability
Volumen49
N.º3
DOI
EstadoPublicada - sep 2012

All Science Journal Classification (ASJC) codes

  • Estadística y probabilidad
  • Matemáticas (todo)
  • Estadística, probabilidad e incerteza

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