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 fina...

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Detalles Bibliográficos
Autores Principales: Di Crescenzo A., Martinucci B., Ratanov N.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: John Wiley and Sons Ltd 2019
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/22561
https://doi.org/10.1002/mma.5683