On financial markets based on telegraph processes

The paper develops a new class of financial market models. These models are based on generalised telegraph processes: Markov random flows with alternating velocities and jumps occurring when the velocities are switching. While such markets may admit an arbitrage opportunity, the model under consider...

Descripción completa

Detalles Bibliográficos
Autores Principales: Ratanov, Nikita, Melnikov, Alexander
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2008
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/23339
https://doi.org/10.1080/17442500701841156