Jump Telegraph-Diffusion Option Pricing

The paper develops a class of financial market models with jumps based on aBrownian motion, and inhomogeneous telegraph processes: random motions withalternating velocities. We assume that jumps occur when the velocities are switch-ing. The distribution of such a process is described in detail. For...

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Detalles Bibliográficos
Autor Principal: Ratanov, Nikita
Formato: Preimpresión (Preprint)
Lenguaje:Inglés (English)
Publicado: Universitá degli Studi di Milano 2008
Acceso en línea:https://repository.urosario.edu.co/handle/10336/29848