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...

Descripción completa

Detalles Bibliográficos
Autor Principal: Ratanov, Nikita
Otros Colaboradores: Facultad de Economía
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2007
Materias:
Acceso en línea:http://repository.urosario.edu.co/handle/10336/14380