On the damped geometric telegrapher's process
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Publication:2888096
zbMATH Open1238.91068MaRDI QIDQ2888096FDOQ2888096
Authors: Barbara Martinucci, Antonio Di Crescenzo, S. Zacks 
Publication date: 30 May 2012
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moment generating functiondamped processesexponential timesgeometric telegrapher's processlinear rateslog-logistic stationary distribution
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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- On prices' evolutions based on geometric telegrapher's process
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- Telegraph processes and option pricing
- Properties of the Samuelson model with a telegraph trend
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