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 co...

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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