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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Formato: | Preimpresión (Preprint) |
Lenguaje: | Inglés (English) |
Publicado: |
Universitá degli Studi di Milano
2008
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Acceso en línea: | https://repository.urosario.edu.co/handle/10336/29848 |