Nonhomogeneous telegraph processes and their application to financial market modeling

DOI10.1134/S1064562407010322zbMath1327.60101OpenAlexW2084106432MaRDI QIDQ492468

Alexander V. Melnikov, Nikita E. Ratanov

Publication date: 20 August 2015

Published in: Doklady Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064562407010322

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Corporate finance (dividends, real options, etc.) (91G50) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

Option pricing under jump-diffusion processes with regime switching ⋮ Option Pricing and CVaR Hedging in the Regime-Switching Telegraph Market Model

Cites Work

• Unnamed Item
• A stochastic model related to the telegrapher's equation

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