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...

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Detalles Bibliográficos
Autores Principales: Ratanov, Nikita, Melnikov, Alexander
Formato: Preimpresión (Preprint)
Publicado: Cornell UNiversity 2007
Acceso en línea:https://repository.urosario.edu.co/handle/10336/29849