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...

Full description

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
Rights
License
Abierto (Texto Completo)
id EDOCUR2_a39c5e5736c03cb934bf244054956f29
oai_identifier_str oai:repository.urosario.edu.co:10336/22231
network_acronym_str EDOCUR2
network_name_str Repositorio EdocUR - U. Rosario
repository_id_str
spelling 051eab7f-7e2b-4d50-b548-e1a1828900b8-13203526002020-05-25T23:55:50Z2020-05-25T23:55:50Z2012In 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 equivalent martingale measures can be described in detail. We provide additional suggestions which permit arbitrage-free option prices as well as hedging strategies to be obtained. © Applied Probability Trust 2012.application/pdfhttps://doi.org/10.1239/jap/1346955337219002https://repository.urosario.edu.co/handle/10336/22231eng849No. 3838Journal of Applied ProbabilityVol. 49Journal of Applied Probability, ISSN:219002, Vol.49, No.3 (2012); pp. 838-849https://www.scopus.com/inward/record.uri?eid=2-s2.0-84872176116&doi=10.1239%2fjap%2f1346955337&partnerID=40&md5=57966ea07d2130b9232a762ac90c453cAbierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocUREquivalent martingale measureHedgingJump-telegraph processOption pricingOption pricing driven by a telegraph process with random jumpsarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501López, OscarRatanov, Nikita10336/22231oai:repository.urosario.edu.co:10336/222312022-05-02 07:37:18.091413https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Option pricing driven by a telegraph process with random jumps
title Option pricing driven by a telegraph process with random jumps
spellingShingle Option pricing driven by a telegraph process with random jumps
Equivalent martingale measure
Hedging
Jump-telegraph process
Option pricing
title_short Option pricing driven by a telegraph process with random jumps
title_full Option pricing driven by a telegraph process with random jumps
title_fullStr Option pricing driven by a telegraph process with random jumps
title_full_unstemmed Option pricing driven by a telegraph process with random jumps
title_sort Option pricing driven by a telegraph process with random jumps
dc.subject.keyword.spa.fl_str_mv Equivalent martingale measure
Hedging
Jump-telegraph process
Option pricing
topic Equivalent martingale measure
Hedging
Jump-telegraph process
Option pricing
description 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 equivalent martingale measures can be described in detail. We provide additional suggestions which permit arbitrage-free option prices as well as hedging strategies to be obtained. © Applied Probability Trust 2012.
publishDate 2012
dc.date.created.spa.fl_str_mv 2012
dc.date.accessioned.none.fl_str_mv 2020-05-25T23:55:50Z
dc.date.available.none.fl_str_mv 2020-05-25T23:55:50Z
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/10.1239/jap/1346955337
dc.identifier.issn.none.fl_str_mv 219002
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/22231
url https://doi.org/10.1239/jap/1346955337
https://repository.urosario.edu.co/handle/10336/22231
identifier_str_mv 219002
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.citationEndPage.none.fl_str_mv 849
dc.relation.citationIssue.none.fl_str_mv No. 3
dc.relation.citationStartPage.none.fl_str_mv 838
dc.relation.citationTitle.none.fl_str_mv Journal of Applied Probability
dc.relation.citationVolume.none.fl_str_mv Vol. 49
dc.relation.ispartof.spa.fl_str_mv Journal of Applied Probability, ISSN:219002, Vol.49, No.3 (2012); pp. 838-849
dc.relation.uri.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-84872176116&doi=10.1239%2fjap%2f1346955337&partnerID=40&md5=57966ea07d2130b9232a762ac90c453c
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
_version_ 1814167632713089024

Publicaciones similares