Option pricing driven by a telegraph process with random jumps
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Cites work
- A jump telegraph model for option pricing
- A stochastic model related to the telegrapher's equation
- Evolution process as an alternative to diffusion process and Black-Scholes formula
- Generalized integrated telegraph processes and the distribution of related stopping times
- scientific article; zbMATH DE number 53121 (Why is no real title available?)
- scientific article; zbMATH DE number 796445 (Why is no real title available?)
- Mathematics of financial markets.
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- Probability law, flow function, maximum distribution of wave-governed random motions and their connections with Kirchhoff's laws
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Cited in
(26)- Optimal dividend policy when cash surplus follows the telegraph process
- On some finite-velocity random motions driven by the geometric counting process
- Some results on the telegraph process confined by two non-standard boundaries
- Piecewise linear process with renewal starting points
- Damped jump-telegraph processes
- Jump telegraph processes and financial markets with memory
- Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment
- Double Telegraph Processes and Complete Market Models
- Option pricing and CVaR hedging in the regime-switching telegraph market model
- Differential and integral equations for jump random motions
- On financial markets based on telegraph processes
- Telegraph processes and option pricing
- Telegraph processes with random jumps and complete market models
- Option pricing under a jump-telegraph diffusion model with jumps of random size
- Piecewise deterministic processes following two alternating patterns
- Piecewise linear processes with Poisson-modulated exponential switching times
- Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
- Generalized Telegraph Process with Random Jumps
- Self-exciting piecewise linear processes
- A jump telegraph model for option pricing
- Telegraph Processes and Option Pricing
- Discretely observed Brownian motion governed by telegraph signal process: estimation and application to finance
- One-dimensional and planar random motions with variable propagation speeds
- Some results on the supremum and on the first passage time of the generalized telegraph process
- Hypo-exponential distributions and compound Poisson processes with alternating parameters
- Option pricing model based on a Markov-modulated diffusion with jumps
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