Option pricing model based on a Markov-modulated diffusion with jumps

DOI10.1214/09-BJPS037zbMath1193.91158arXiv0812.0761MaRDI QIDQ985996

Nikita E. Ratanov

Publication date: 9 August 2010

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.0761

zbMATH Keywords

option pricingtelegraph processMarkov-modulated diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (16)

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 ⋮ A two-state neuronal model with alternating exponential excitation ⋮ 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 ⋮ Switched diffusion processes for non-convex optimization and saddle points search ⋮ Hypo-exponential distributions and compound Poisson processes with alternating parameters ⋮ Telegraph processes with random jumps and complete market models ⋮ Probability law and flow function of Brownian motion driven by a generalized telegraph process ⋮ First passage time moments of jump-diffusions with Markovian switching ⋮ Unnamed Item ⋮ Optimal dividend policy when cash surplus follows the telegraph process ⋮ Differential and integral equations for jump random motions ⋮ Double Telegraph Processes and Complete Market Models

Cites Work

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