Option pricing driven by a telegraph process with random jumps
"In this paper we propose a class of financial market models which are based on telegraph processes with alternating tendencies and jumps. It is assumed that the jumps have random sizes and that they occur when the tendencies are switching. These models are typically incomplete, but the set of...
|Acceso en línea:||https://repository.urosario.edu.co/handle/10336/22231|