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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| Formato: | Documento de trabajo (Working Paper) |
| Lenguaje: | Inglés (English) |
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Editorial Universidad del Rosario
2004
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| Acceso en línea: | http://repository.urosario.edu.co/handle/10336/11296 |
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ir-10336-112962019-09-19T12:37:01Z A jump telegraph model for option pricing Ratanov, Nikita Comunicaciones, Telecomunicaciones Mercadeo::Toma de decisiones Planificación financiera Telégrafo::Modelos Matemáticas 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 respect to the interest rate, the model is free of arbitrage. The replicating strategies for options are constructed in details. Closed form formulas for the opcion prices are obtained. 2004-11 2015-10-16T15:19:03Z info:eu-repo/semantics/workingPaper info:eu-repo/semantics/acceptedVersion http://repository.urosario.edu.co/handle/10336/11296 eng info:eu-repo/semantics/openAccess application/pdf Editorial Universidad del Rosario Universidad del Rosario. Facultad de Economía instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR instname:Universidad del Rosario |
| institution |
EdocUR - Universidad del Rosario |
| collection |
DSpace |
| language |
Inglés (English) |
| topic |
Comunicaciones, Telecomunicaciones Mercadeo::Toma de decisiones Planificación financiera Telégrafo::Modelos Matemáticas |
| spellingShingle |
Comunicaciones, Telecomunicaciones Mercadeo::Toma de decisiones Planificación financiera Telégrafo::Modelos Matemáticas Ratanov, Nikita A jump telegraph model for option pricing |
| description |
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 respect to the interest rate, the model is free of arbitrage. The replicating strategies for options are constructed in details. Closed form formulas for the opcion prices are obtained. |
| format |
Documento de trabajo (Working Paper) |
| author |
Ratanov, Nikita |
| author_facet |
Ratanov, Nikita |
| author_sort |
Ratanov, Nikita |
| title |
A jump telegraph model for option pricing |
| title_short |
A jump telegraph model for option pricing |
| title_full |
A jump telegraph model for option pricing |
| title_fullStr |
A jump telegraph model for option pricing |
| title_full_unstemmed |
A jump telegraph model for option pricing |
| title_sort |
jump telegraph model for option pricing |
| publisher |
Editorial Universidad del Rosario |
| publishDate |
2004 |
| url |
http://repository.urosario.edu.co/handle/10336/11296 |
| _version_ |
1645141468849897472 |
| score |
11,896154 |