Piecewise linear processes with Poisson-modulated exponential switching times
We consider the jump telegraph process when switching intensities depend on external shocks also accompanying with jumps. The incomplete financial market model based on this process is studied. The Esscher transform, which changes only unobservable parameters, is considered in detail. The financial...
| Autores Principales: | , , |
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| Formato: | Artículo (Article) |
| Lenguaje: | Inglés (English) |
| Publicado: |
John Wiley and Sons Ltd
2019
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| Materias: | |
| Acceso en línea: | https://repository.urosario.edu.co/handle/10336/22561 https://doi.org/10.1002/mma.5683 |