Option pricing driven by a telegraph process with random jumps

In this paper we propose a class of financial market models which are based on telegraph processes with alternating tendencies and jumps. It is assumed that the jumps have random sizes and that they occur when the tendencies are switching. These models are typically incomplete, but the set of equiva...

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Autores:
Tipo de recurso:
Fecha de publicación:
2012
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
eng
OAI Identifier:
oai:repository.urosario.edu.co:10336/22231
Acceso en línea:
https://doi.org/10.1239/jap/1346955337
https://repository.urosario.edu.co/handle/10336/22231
Palabra clave:
Equivalent martingale measure
Hedging
Jump-telegraph process
Option pricing
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