Telegraph Processes and Option Pricing

DOI10.1007/978-3-662-65827-7MaRDI QIDQ6484787

Alexander D. Kolesnik, Nikita E. Ratanov

Publication date: 7 September 2022

Published in: 1515.60017 (Search for Journal in Brave)

Mathematics Subject Classification ID

Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Applications of continuous-time Markov processes on discrete state spaces (60J28) Jump processes on general state spaces (60J76)

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