A jump telegraph model for option pricing
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Publication:5433103
DOI10.1080/14697680600991226zbMath1151.91535OpenAlexW1963875897MaRDI QIDQ5433103
Publication date: 19 December 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://repository.urosario.edu.co/bitstream/handle/10336/11296/1919.pdf
Related Items (31)
Option pricing under a jump-telegraph diffusion model with jumps of random size ⋮ Option Pricing Driven by a Telegraph Process with Random Jumps ⋮ Generalized Telegraph Process with Random Jumps ⋮ Option pricing under jump-diffusion processes with regime switching ⋮ Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment ⋮ First crossing times of telegraph processes with jumps ⋮ On financial markets based on telegraph processes ⋮ Asymptotic Results for Sums of Independent Random Variables with Alternating Laws ⋮ Parametric estimation for the standard and geometric telegraph process observed at discrete times ⋮ Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals ⋮ Hypo-exponential distributions and compound Poisson processes with alternating parameters ⋮ Reflection principle for finite-velocity random motions ⋮ On the generalized telegraph process with deterministic jumps ⋮ Damped jump-telegraph processes ⋮ Kac's rescaling for jump-telegraph processes ⋮ On piecewise linear processes ⋮ Telegraph processes with random jumps and complete market models ⋮ Probability law and flow function of Brownian motion driven by a generalized telegraph process ⋮ Some results on the telegraph process confined by two non-standard boundaries ⋮ Ornstein-Uhlenbeck processes of bounded variation ⋮ Jump telegraph processes and financial markets with memory ⋮ On the Asymmetric Telegraph Processes ⋮ Occupation time distributions for the telegraph process ⋮ Large deviation principles for telegraph processes ⋮ Option pricing model based on a Markov-modulated diffusion with jumps ⋮ Unnamed Item ⋮ Optimal dividend policy when cash surplus follows the telegraph process ⋮ Stochastic velocity motions and processes with random time ⋮ Differential and integral equations for jump random motions ⋮ Least-squares change-point estimation for the telegraph process observed at discrete times ⋮ Double Telegraph Processes and Complete Market Models
Cites Work
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- Probabilistic analysis of the telegrapher's process with drift by means of relativistic transformations
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