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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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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License
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spelling Facultad de Economía Ratanov, NikitaRatanov, Nikita3203526002018-02-14T18:14:04Z2018-02-14T18:14:04Z2007-08-092007The 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 a certain correspondence with their velocity and with the behaviour of the interest rate. A risk-neutral measure and arbitrage-free formulae for a standard call option are constructed. This model has some features of models with memory, but it is more simple.application/pdf1048-9533http://repository.urosario.edu.co/handle/10336/14380eng301Journal Of Applied Mathematics And Stochastic AnalysisVol. 2007Journal Of Applied Mathematics And Stochastic Analysis, ISSN 1048-9533 Volume 2007 pp. 1-30https://www.hindawi.com/journals/ijsa/2007/072326/abs/Abierto (Texto Completo)https://about.hindawi.com/authors/open-access/http://www.sherpa.ac.uk/romeo/issn/148-9533/es/http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURJump telegraph processFinancial marketStandard call optionStock priceInterest rateUnrestricted useEconomía financiera332600Mercado financieroModelos econométricosJump telegraph processes and financial markets with memoryarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501ORIGINALPDF174.pdfapplication/pdf2020067https://repository.urosario.edu.co/bitstreams/219b855a-b482-4d80-b481-3268341df5d4/downloada6914259de4aa3aa2d7c9adc2ed0e745MD51TEXTPDF174.pdf.txtPDF174.pdf.txtExtracted texttext/plain39705https://repository.urosario.edu.co/bitstreams/b4c59d96-93a9-4987-9d3a-3ae794207bfa/download567c967ab92dbfd73b8b385a1dc799d5MD56THUMBNAILPDF174.pdf.jpgPDF174.pdf.jpgGenerated Thumbnailimage/jpeg3844https://repository.urosario.edu.co/bitstreams/31aae3c5-b0ba-4683-abb0-ae5fee64e227/download0bdf693192e4c97caaf307b339ef4187MD5710336/14380oai:repository.urosario.edu.co:10336/143802019-09-19 07:37:54.609585http://www.sherpa.ac.uk/romeo/issn/148-9533/es/https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Jump telegraph processes and financial markets with memory
title Jump telegraph processes and financial markets with memory
spellingShingle Jump telegraph processes and financial markets with memory
Jump telegraph process
Financial market
Standard call option
Stock price
Interest rate
Unrestricted use
Economía financiera
Mercado financiero
Modelos econométricos
title_short Jump telegraph processes and financial markets with memory
title_full Jump telegraph processes and financial markets with memory
title_fullStr Jump telegraph processes and financial markets with memory
title_full_unstemmed Jump telegraph processes and financial markets with memory
title_sort Jump telegraph processes and financial markets with memory
dc.contributor.gruplac.spa.fl_str_mv Facultad de Economía
dc.subject.spa.fl_str_mv Jump telegraph process
Financial market
Standard call option
Stock price
Interest rate
Unrestricted use
topic Jump telegraph process
Financial market
Standard call option
Stock price
Interest rate
Unrestricted use
Economía financiera
Mercado financiero
Modelos econométricos
dc.subject.ddc.none.fl_str_mv Economía financiera
dc.subject.lemb.spa.fl_str_mv Mercado financiero
Modelos econométricos
description 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 a certain correspondence with their velocity and with the behaviour of the interest rate. A risk-neutral measure and arbitrage-free formulae for a standard call option are constructed. This model has some features of models with memory, but it is more simple.
publishDate 2007
dc.date.created.none.fl_str_mv 2007-08-09
dc.date.issued.none.fl_str_mv 2007
dc.date.accessioned.none.fl_str_mv 2018-02-14T18:14:04Z
dc.date.available.none.fl_str_mv 2018-02-14T18:14:04Z
dc.type.eng.fl_str_mv article
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dc.relation.citationEndPage.none.fl_str_mv 30
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dc.relation.citationTitle.none.fl_str_mv Journal Of Applied Mathematics And Stochastic Analysis
dc.relation.citationVolume.none.fl_str_mv Vol. 2007
dc.relation.ispartof.spa.fl_str_mv Journal Of Applied Mathematics And Stochastic Analysis, ISSN 1048-9533 Volume 2007 pp. 1-30
dc.relation.uri.none.fl_str_mv https://www.hindawi.com/journals/ijsa/2007/072326/abs/
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dc.rights.acceso.spa.fl_str_mv Abierto (Texto Completo)
dc.rights.cc.spa.fl_str_mv https://about.hindawi.com/authors/open-access/
dc.rights.uri.none.fl_str_mv http://www.sherpa.ac.uk/romeo/issn/148-9533/es/
rights_invalid_str_mv Abierto (Texto Completo)
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http://www.sherpa.ac.uk/romeo/issn/148-9533/es/
http://purl.org/coar/access_right/c_abf2
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