Jump telegraph processes and financial markets with memory
From MaRDI portal
Publication:2478418
DOI10.1155/2007/72326zbMath1149.60053MaRDI QIDQ2478418
Publication date: 28 March 2008
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/54714
91G20: Derivative securities (option pricing, hedging, etc.)
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
Related Items
Option pricing under a jump-telegraph diffusion model with jumps of random size, Piecewise deterministic processes following two alternating patterns, Generalized Telegraph Process with Random Jumps, Kac's rescaling for jump-telegraph processes, Telegraph processes with random jumps and complete market models, On the generalized telegraph process with deterministic jumps, A note on the conditional probabilities of the telegraph process, Stochastic velocity motions and processes with random time, Least-squares change-point estimation for the telegraph process observed at discrete times
Cites Work
- A link between wave governed random motions and ruin processes
- Option pricing for pure jump processes with Markov switching compensators
- Probability law, flow function, maximum distribution of wave-governed random motions and their connections with Kirchhoff's laws
- A stochastic model related to the telegrapher's equation
- A note on Wick products and the fractional Black-Scholes model
- Pricing options on realized variance
- Linear filtering of systems with memory and application to finance
- Financial Markets with Memory I: Dynamic Models
- On prices' evolutions based on geometric telegrapher's process
- Generalized integrated telegraph processes and the distribution of related stopping times
- A jump telegraph model for option pricing
- ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION
- Probabilistic analysis of the telegrapher's process with drift by means of relativistic transformations
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item