Option pricing model based on a Markov-modulated diffusion with jumps

"The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are switching. Such a model captures well the stock price dynami...

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Detalles Bibliográficos
Autor Principal: Ratanov N.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2010
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/23606
https://doi.org/10.1214/09-BJPS037