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