On prices' evolutions based on geometric telegrapher's process

DOI10.1002/asmb.456zbMath1011.91041OpenAlexW2132473809MaRDI QIDQ4797841

Franco Pellerey, Antonio Di Crescenzo

Publication date: 9 March 2003

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.456

zbMATH Keywords

usual stochastic orderprice processtelegrapher's processErlang disribution

Mathematics Subject Classification ID

Related Items (30)

Option pricing under a jump-telegraph diffusion model with jumps of random size ⋮ A note on the conditional probabilities of the telegraph process ⋮ Option Pricing Driven by a Telegraph Process with Random Jumps ⋮ Generalized Telegraph Process with Random Delays ⋮ Some results on the telegraph process driven by gamma components ⋮ Transport processes with random jump rate ⋮ Generalized Telegraph Process with Random Jumps ⋮ Generalized integrated telegraph processes and the distribution of related stopping times ⋮ First crossing times of telegraph processes with jumps ⋮ On financial markets based on telegraph processes ⋮ Parametric estimation for the standard and geometric telegraph process observed at discrete times ⋮ On the generalized telegraph process with deterministic jumps ⋮ A Damped Telegraph Random Process with Logistic Stationary Distribution ⋮ Telegraph processes with random jumps and complete market models ⋮ On the exact distributions of the maximum of the asymmetric telegraph process ⋮ Jump telegraph processes and financial markets with memory ⋮ A link between wave governed random motions and ruin processes ⋮ Branching random motions, nonlinear hyperbolic systems and travellind waves ⋮ A jump telegraph model for option pricing ⋮ Large deviation principles for telegraph processes ⋮ Option pricing model based on a Markov-modulated diffusion with jumps ⋮ Unnamed Item ⋮ On estimation for Brownian motion governed by telegraph process with multiple off states ⋮ Discretely observed Brownian motion governed by telegraph process: estimation ⋮ Optimal dividend policy when cash surplus follows the telegraph process ⋮ Certain functionals of squared telegraph processes ⋮ Stochastic velocity motions and processes with random time ⋮ Least-squares change-point estimation for the telegraph process observed at discrete times ⋮ On the distribution of the maximum of the telegraph process ⋮ On some finite-velocity random motions driven by the geometric counting process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Probability law, flow function, maximum distribution of wave-governed random motions and their connections with Kirchhoff's laws
• Stochastic comparison of processes generated by random interruptions of monotone functions and related results
• A stochastic model related to the telegrapher's equation
• Properties of the telegrapher's random process with or without a trap
• ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION

This page was built for publication: On prices' evolutions based on geometric telegrapher's process