On financial markets based on telegraph processes

The paper develops a new class of financial market models. These models are based on generalised 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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Tipo de recurso:
Fecha de publicación:
2008
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
eng
OAI Identifier:
oai:repository.urosario.edu.co:10336/23339
Acceso en línea:
https://doi.org/10.1080/17442500701841156
https://repository.urosario.edu.co/handle/10336/23339
Palabra clave:
Black-Scholes model
Hedging
Jump telegraph process
Option pricing
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network_name_str Repositorio EdocUR - U. Rosario
repository_id_str
spelling 320352600b1a9bdd3-c808-4523-bb9b-8d9b89158c64-12020-05-26T00:01:15Z2020-05-26T00:01:15Z2008The paper develops a new class of financial market models. These models are based on generalised 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 consideration is arbitrage-free and complete if directions of jumps in stock prices are in a certain correspondence with their velocity and interest rate behaviour. An analog of the Black-Scholes fundamental differential equation is derived, but, in contrast with the Black-Scholes model, this equation is hyperbolic. Explicit formulas for prices of European options are obtained using perfect and quantile hedging.application/pdfhttps://doi.org/10.1080/174425007018411561744251617442508https://repository.urosario.edu.co/handle/10336/23339eng268No. 43892247StochasticsVol. 80Stochastics, ISSN:17442516, 17442508, Vol.80, No.43892 (2008); pp. 247-268https://www.scopus.com/inward/record.uri?eid=2-s2.0-40249102161&doi=10.1080%2f17442500701841156&partnerID=40&md5=0c77877a8a921a8ca2e86f5d12724ea4Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURBlack-Scholes modelHedgingJump telegraph processOption pricingOn financial markets based on telegraph processesarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Ratanov, NikitaMelnikov, Alexander10336/23339oai:repository.urosario.edu.co:10336/233392022-05-02 07:37:20.932207https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv On financial markets based on telegraph processes
title On financial markets based on telegraph processes
spellingShingle On financial markets based on telegraph processes
Black-Scholes model
Hedging
Jump telegraph process
Option pricing
title_short On financial markets based on telegraph processes
title_full On financial markets based on telegraph processes
title_fullStr On financial markets based on telegraph processes
title_full_unstemmed On financial markets based on telegraph processes
title_sort On financial markets based on telegraph processes
dc.subject.keyword.spa.fl_str_mv Black-Scholes model
Hedging
Jump telegraph process
Option pricing
topic Black-Scholes model
Hedging
Jump telegraph process
Option pricing
description The paper develops a new class of financial market models. These models are based on generalised 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 consideration is arbitrage-free and complete if directions of jumps in stock prices are in a certain correspondence with their velocity and interest rate behaviour. An analog of the Black-Scholes fundamental differential equation is derived, but, in contrast with the Black-Scholes model, this equation is hyperbolic. Explicit formulas for prices of European options are obtained using perfect and quantile hedging.
publishDate 2008
dc.date.created.spa.fl_str_mv 2008
dc.date.accessioned.none.fl_str_mv 2020-05-26T00:01:15Z
dc.date.available.none.fl_str_mv 2020-05-26T00:01:15Z
dc.type.eng.fl_str_mv article
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1080/17442500701841156
dc.identifier.issn.none.fl_str_mv 17442516
17442508
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/23339
url https://doi.org/10.1080/17442500701841156
https://repository.urosario.edu.co/handle/10336/23339
identifier_str_mv 17442516
17442508
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.citationEndPage.none.fl_str_mv 268
dc.relation.citationIssue.none.fl_str_mv No. 43892
dc.relation.citationStartPage.none.fl_str_mv 247
dc.relation.citationTitle.none.fl_str_mv Stochastics
dc.relation.citationVolume.none.fl_str_mv Vol. 80
dc.relation.ispartof.spa.fl_str_mv Stochastics, ISSN:17442516, 17442508, Vol.80, No.43892 (2008); pp. 247-268
dc.relation.uri.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-40249102161&doi=10.1080%2f17442500701841156&partnerID=40&md5=0c77877a8a921a8ca2e86f5d12724ea4
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.acceso.spa.fl_str_mv Abierto (Texto Completo)
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.format.mimetype.none.fl_str_mv application/pdf
institution Universidad del Rosario
dc.source.instname.spa.fl_str_mv instname:Universidad del Rosario
dc.source.reponame.spa.fl_str_mv reponame:Repositorio Institucional EdocUR
repository.name.fl_str_mv Repositorio institucional EdocUR
repository.mail.fl_str_mv edocur@urosario.edu.co
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