A jump telegraph model for option pricing

In this paper we introduce a financial market model based on continuos time random motions with alternanting constant velocities and with jumps ocurring when the velocity switches. if jump directions are in the certain corresondence with the velocity directions of the underlyng random motion with r...

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Detalles Bibliográficos
Autor Principal: Ratanov, Nikita
Formato: Documento de trabajo (Working Paper)
Lenguaje:Inglés (English)
Publicado: Editorial Universidad del Rosario 2004
Acceso en línea:http://repository.urosario.edu.co/handle/10336/11296