On Financial Markets Based on Telegraph Processes, Quantitative Finance Papers
The paper develops a new class of financial market models. These models are based on generalized 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: | , |
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Formato: | Preimpresión (Preprint) |
Lenguaje: | Inglés (English) |
Publicado: |
Cornell UNiversity
2007
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Materias: | |
Acceso en línea: | https://repository.urosario.edu.co/handle/10336/29849 |