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...
| Autores Principales: | , |
|---|---|
| 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 |