Jump telegraph processes and financial markets with memory
The paper develops a new class of financial market models. These models are based on generalized telegraph processes with alternating velocities and jumps occurring at switching velocities. The model under consideration is arbitrage-free and complete if the directions of jumps in stock prices are in...
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| Formato: | Artículo (Article) |
| Lenguaje: | Inglés (English) |
| Publicado: |
2007
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| Acceso en línea: | http://repository.urosario.edu.co/handle/10336/14380 |