Estimation of parameters of the Samuelson model with telegraph drift
DOI10.1007/S10958-016-3007-7zbMATH Open1414.91376OpenAlexW2517547395MaRDI QIDQ328745FDOQ328745
Authors: Anna Aleksandrovna Kharkhota, S. A. Mel'nik 
Publication date: 21 October 2016
Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10958-016-3007-7
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Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Option pricing when underlying stock returns are discontinuous
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- Properties of the Samuelson model with a telegraph trend
- Minimum variance hedging in a model with jumps at Poisson random times
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