Telegraph Processes with Random Jumps and Complete Market Models

We propose a new generalisation of jump-telegraph process with variable velocities and jumps. Amplitude of the jumps and velocity values are random, and they depend on the time spent by the process in the previous state of the underlying Markov process. This construction is applied to markets modell...

Full description

Autores:
Tipo de recurso:
Fecha de publicación:
2015
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
eng
OAI Identifier:
oai:repository.urosario.edu.co:10336/22586
Acceso en línea:
https://doi.org/10.1007/s11009-013-9388-x
https://repository.urosario.edu.co/handle/10336/22586
Palabra clave:
Compound poisson process
Dependence on the past
Historical volatility
Inhomogeneous Jump-telegraph process
Rights
License
Abierto (Texto Completo)