Option Pricing Driven by a Telegraph Process with Random Jumps

DOI10.1239/jap/1346955337zbMath1260.91230OpenAlexW2055980838MaRDI QIDQ3165498

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Publication date: 29 October 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1346955337

zbMATH Keywords

equivalent martingale measurehedgingoption pricingjump-telegraph process

Mathematics Subject Classification ID

Related Items (15)

Option pricing under a jump-telegraph diffusion model with jumps of random size ⋮ Generalized Telegraph Process with Random Jumps ⋮ Piecewise linear process with renewal starting points ⋮ Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment ⋮ Hypo-exponential distributions and compound Poisson processes with alternating parameters ⋮ Damped jump-telegraph processes ⋮ Telegraph processes with random jumps and complete market models ⋮ Some results on the telegraph process confined by two non-standard boundaries ⋮ Unnamed Item ⋮ Optimal dividend policy when cash surplus follows the telegraph process ⋮ Piecewise deterministic processes following two alternating patterns ⋮ Differential and integral equations for jump random motions ⋮ Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models ⋮ On some finite-velocity random motions driven by the geometric counting process ⋮ Double Telegraph Processes and Complete Market Models

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