Piecewise linear processes with Poisson-modulated exponential switching times

Antonio Di Crescenzo, Barbara Martinucci, Nikita Ratanov

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

Resumen

We consider the jump telegraph process when switching intensities depend on external shocks also accompanying with jumps. The incomplete financial market model based on this process is studied. The Esscher transform, which changes only unobservable parameters, is considered in detail. The financial market model based on this transform can price switching risks as well as jump risks of the model.

Idioma originalInglés estadounidense
Páginas (desde-hasta)4606-4626
Número de páginas21
PublicaciónMathematical Methods in the Applied Sciences
Volumen42
N.º13
DOI
EstadoPublicada - sep 15 2019

All Science Journal Classification (ASJC) codes

  • Matemáticas (todo)
  • Ingeniería (todo)

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