Option pricing model based on a Markov-modulated diffusion with jumps

The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are switching. Such a model captures well the stock price dynamics und...

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Autores:
Tipo de recurso:
Fecha de publicación:
2010
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
eng
OAI Identifier:
oai:repository.urosario.edu.co:10336/23606
Acceso en línea:
https://doi.org/10.1214/09-BJPS037
https://repository.urosario.edu.co/handle/10336/23606
Palabra clave:
Markov-modulated diffusion
Option pricing
Telegraph process
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