Telegraph processes with random jumps and complete market models
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Publication:496959
DOI10.1007/s11009-013-9388-xzbMath1322.60170arXiv1311.5464OpenAlexW3103132818MaRDI QIDQ496959
Publication date: 23 September 2015
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.5464
compound Poisson processVolterra-type integral equationscomplete market modelshistorical volatilityinhomogeneous jump-telegraph process
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Related Items (9)
Some results on the telegraph process driven by gamma components ⋮ Option pricing under jump-diffusion processes with regime switching ⋮ Hypo-exponential distributions and compound Poisson processes with alternating parameters ⋮ Telegraph process with elastic boundary at the origin ⋮ Some results on the telegraph process confined by two non-standard boundaries ⋮ Asymptotic results for the absorption time of telegraph processes with elastic boundary at the origin ⋮ On a jump-telegraph process driven by an alternating fractional Poisson process ⋮ Certain functionals of squared telegraph processes ⋮ Probabilistic analysis of systems alternating for state-dependent dichotomous noise
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