Telegraph Processes with Random Jumps and Complete Market Models

Resultado de la investigación: Contribución a RevistaArtículo

7 Citas (Scopus)

Resumen

© 2013, Springer Science+Business Media New York.We propose a new generalisation of jump-telegraph process with variable velocities and jumps. Amplitude of the jumps and velocity values are random, and they depend on the time spent by the process in the previous state of the underlying Markov process. This construction is applied to markets modelling. The distribution densities and the moments satisfy some integral equations of the Volterra type. We use them for characterisation of the equivalent risk-neutral measure and for the expression of historical volatility in various settings. The fundamental equation is derived by similar arguments. Historical volatilities are computed numerically.
Idioma originalEnglish (US)
Páginas (desde-hasta)677-695
Número de páginas19
PublicaciónMethodology and Computing in Applied Probability
DOI
EstadoPublished - sep 10 2015

Huella dactilar

Market Model
Jump
Volatility
Volterra
Markov Process
Integral Equations
Moment
Modeling

Citar esto

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Telegraph Processes with Random Jumps and Complete Market Models. / Ratanov, Nikita.

En: Methodology and Computing in Applied Probability, 10.09.2015, p. 677-695.

Resultado de la investigación: Contribución a RevistaArtículo

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