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...

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Detalles Bibliográficos
Autores Principales: "López, Oscar, Ratanov, Nikita"
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2012
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/22231
https://doi.org/10.1239/jap/1346955337
id ir-10336-22231
recordtype dspace
spelling ir-10336-222312020-06-03T22:15:02Z Option pricing driven by a telegraph process with random jumps "López, Oscar Ratanov, Nikita" Equivalent martingale measure Hedging Jump-telegraph process Option pricing "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 equivalent martingale measures can be described in detail. We provide additional suggestions which permit arbitrage-free option prices as well as hedging strategies to be obtained. © Applied Probability Trust 2012." 2012 2020-05-25T23:55:50Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 219002 https://repository.urosario.edu.co/handle/10336/22231 https://doi.org/10.1239/jap/1346955337 eng info:eu-repo/semantics/openAccess application/pdf instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic Equivalent martingale measure
Hedging
Jump-telegraph process
Option pricing
spellingShingle Equivalent martingale measure
Hedging
Jump-telegraph process
Option pricing
"López, Oscar
Ratanov, Nikita"
Option pricing driven by a telegraph process with random jumps
description "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 equivalent martingale measures can be described in detail. We provide additional suggestions which permit arbitrage-free option prices as well as hedging strategies to be obtained. © Applied Probability Trust 2012."
format Artículo (Article)
author "López, Oscar
Ratanov, Nikita"
author_facet "López, Oscar
Ratanov, Nikita"
author_sort "López, Oscar
title Option pricing driven by a telegraph process with random jumps
title_short Option pricing driven by a telegraph process with random jumps
title_full Option pricing driven by a telegraph process with random jumps
title_fullStr Option pricing driven by a telegraph process with random jumps
title_full_unstemmed Option pricing driven by a telegraph process with random jumps
title_sort option pricing driven by a telegraph process with random jumps
publishDate 2012
url https://repository.urosario.edu.co/handle/10336/22231
https://doi.org/10.1239/jap/1346955337
_version_ 1669098449189994496
score 11,828437