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 |