On financial markets based on telegraph processes
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Publication:3498586
DOI10.1080/17442500701841156zbMath1136.91013arXiv0712.3428OpenAlexW2058307814MaRDI QIDQ3498586
Alexander V. Melnikov, Nikita E. Ratanov
Publication date: 15 May 2008
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0712.3428
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Related Items (9)
Option Pricing Driven by a Telegraph Process with Random Jumps ⋮ Unnamed Item ⋮ Generalized Telegraph Process with Random Jumps ⋮ Option Pricing and CVaR Hedging in the Regime-Switching Telegraph Market Model ⋮ On the generalized telegraph process with deterministic jumps ⋮ A Damped Telegraph Random Process with Logistic Stationary Distribution ⋮ Occupation time distributions for the telegraph process ⋮ Optimal dividend policy when cash surplus follows the telegraph process ⋮ Differential and integral equations for jump random motions
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