Jump telegraph processes and financial markets with memory

The paper develops a new class of financial market models. These models are based on generalized telegraph processes with alternating velocities and jumps occurring at switching velocities. The model under consideration is arbitrage-free and complete if the directions of jumps in stock prices are in...

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Autores:

Tipo de recurso:

Fecha de publicación:

2007

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/14380

Acceso en línea:

http://repository.urosario.edu.co/handle/10336/14380

Palabra clave:

Jump telegraph process
Financial market
Standard call option
Stock price
Interest rate
Unrestricted use
Economía financiera
Mercado financiero
Modelos econométricos

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