On financial markets based on telegraph processes

DOI10.1080/17442500701841156zbMath1136.91013arXiv0712.3428OpenAlexW2058307814MaRDI QIDQ3498586

Alexander V. Melnikov, Nikita E. Ratanov

Publication date: 15 May 2008

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.3428

zbMATH Keywords

hedgingoption pricingBlack-Scholes modeljump telegraph process

Mathematics Subject Classification ID

Related Items (9)

Option Pricing Driven by a Telegraph Process with Random Jumps ⋮ Unnamed Item ⋮ Generalized Telegraph Process with Random Jumps ⋮ Option Pricing and CVaR Hedging in the Regime-Switching Telegraph Market Model ⋮ On the generalized telegraph process with deterministic jumps ⋮ A Damped Telegraph Random Process with Logistic Stationary Distribution ⋮ Occupation time distributions for the telegraph process ⋮ Optimal dividend policy when cash surplus follows the telegraph process ⋮ Differential and integral equations for jump random motions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Probability law, flow function, maximum distribution of wave-governed random motions and their connections with Kirchhoff's laws
• A stochastic model related to the telegrapher's equation
• An application of hidden Markov models to asset allocation problems
• A general version of the fundamental theorem of asset pricing
• Efficient hedging: cost versus shortfall risk
• Quantile hedging
• A note on Wick products and the fractional Black-Scholes model
• On prices' evolutions based on geometric telegrapher's process
• Generalized integrated telegraph processes and the distribution of related stopping times
• Motions with reflecting and absorbing barriers driven by the telegraph equation
• A jump telegraph model for option pricing
• ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION
• Probabilistic analysis of the telegrapher's process with drift by means of relativistic transformations

This page was built for publication: On financial markets based on telegraph processes