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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Fecha de publicación:: 2010

Institución:: Universidad del Rosario

Repositorio:: Repositorio EdocUR - U. Rosario

Idioma:: eng

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spelling	4ab98391-ba48-4790-b0fb-e3a748e4361b-12020-05-26T00:03:34Z2020-05-26T00:03:34Z2010The 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 under periodic financial cycles. The distribution of this process is described in detail.We also provide a closed form of the structure of risk-neutral measures. This incomplete model can be completed by adding another asset based on the same sources of randomness. For completed market model we obtain explicit formulae for call prices. © 2010, Brazilian Statistical Association. All rights reserved.application/pdfhttps://doi.org/10.1214/09-BJPS0371030752https://repository.urosario.edu.co/handle/10336/23606eng431No. 2413Brazilian Journal of Probability and StatisticsVol. 24Brazilian Journal of Probability and Statistics, ISSN:1030752, Vol.24, No.2 (2010); pp. 413-431https://www.scopus.com/inward/record.uri?eid=2-s2.0-80051651832&doi=10.1214%2f09-BJPS037&partnerID=40&md5=1c14cdeb9af3296e067e8987bf0e8119Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURMarkov-modulated diffusionOption pricingTelegraph processOption pricing model based on a Markov-modulated diffusion with jumpsarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Ratanov N.10336/23606oai:repository.urosario.edu.co:10336/236062022-05-02 07:37:21.105509https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv	Option pricing model based on a Markov-modulated diffusion with jumps
title	Option pricing model based on a Markov-modulated diffusion with jumps
spellingShingle	Option pricing model based on a Markov-modulated diffusion with jumps Markov-modulated diffusion Option pricing Telegraph process
title_short	Option pricing model based on a Markov-modulated diffusion with jumps
title_full	Option pricing model based on a Markov-modulated diffusion with jumps
title_fullStr	Option pricing model based on a Markov-modulated diffusion with jumps
title_full_unstemmed	Option pricing model based on a Markov-modulated diffusion with jumps
title_sort	Option pricing model based on a Markov-modulated diffusion with jumps
dc.subject.keyword.spa.fl_str_mv	Markov-modulated diffusion Option pricing Telegraph process
topic	Markov-modulated diffusion Option pricing Telegraph process
description	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 under periodic financial cycles. The distribution of this process is described in detail.We also provide a closed form of the structure of risk-neutral measures. This incomplete model can be completed by adding another asset based on the same sources of randomness. For completed market model we obtain explicit formulae for call prices. © 2010, Brazilian Statistical Association. All rights reserved.
publishDate	2010
dc.date.created.spa.fl_str_mv	2010
dc.date.accessioned.none.fl_str_mv	2020-05-26T00:03:34Z
dc.date.available.none.fl_str_mv	2020-05-26T00:03:34Z
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/10.1214/09-BJPS037
dc.identifier.issn.none.fl_str_mv	1030752
dc.identifier.uri.none.fl_str_mv	https://repository.urosario.edu.co/handle/10336/23606
url	https://doi.org/10.1214/09-BJPS037 https://repository.urosario.edu.co/handle/10336/23606
identifier_str_mv	1030752
dc.language.iso.spa.fl_str_mv	eng
language	eng
dc.relation.citationEndPage.none.fl_str_mv	431
dc.relation.citationIssue.none.fl_str_mv	No. 2
dc.relation.citationStartPage.none.fl_str_mv	413
dc.relation.citationTitle.none.fl_str_mv	Brazilian Journal of Probability and Statistics
dc.relation.citationVolume.none.fl_str_mv	Vol. 24
dc.relation.ispartof.spa.fl_str_mv	Brazilian Journal of Probability and Statistics, ISSN:1030752, Vol.24, No.2 (2010); pp. 413-431
dc.relation.uri.spa.fl_str_mv	https://www.scopus.com/inward/record.uri?eid=2-s2.0-80051651832&doi=10.1214%2f09-BJPS037&partnerID=40&md5=1c14cdeb9af3296e067e8987bf0e8119
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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Option pricing model based on a Markov-modulated diffusion with jumps

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