Piecewise linear processes with Poisson-modulated exponential switching times

We consider the jump telegraph process when switching intensities depend on external shocks also accompanying with jumps. The incomplete financial market model based on this process is studied. The Esscher transform, which changes only unobservable parameters, is considered in detail. The financial market model based on this transform can price switching risks as well as jump risks of the model. © 2019 John Wiley and Sons, Ltd.

• Fecha de publicación: 2019
• Institución: Universidad del Rosario
• Repositorio: Repositorio EdocUR - U. Rosario
• Idioma: eng
• OAI Identifier: oai:repository.urosario.edu.co:10336/22561
• Acceso en línea: https://doi.org/10.1002/mma.5683; https://repository.urosario.edu.co/handle/10336/22561
• Palabra clave: Commerce; Financial markets; Poisson distribution; Risk assessment; Telegraph; Exponential distributions; Martingale; Piecewise linear; Renewal process; Risk-neutral measure; Piecewise linear techniques; Martingale; Piecewise linear process; Poisson-modulated exponential distribution; Renewal process; Risk neutral measure; Telegraph process
• License: Abierto (Texto Completo)