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
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, Stochastic velocity motions and processes with random time, Least-squares change-point estimation for the telegraph process observed at discrete times
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