A jump telegraph model for option pricing
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Publication:5433103
DOI10.1080/14697680600991226zbMATH Open1151.91535OpenAlexW1963875897MaRDI QIDQ5433103FDOQ5433103
Authors: Nikita Ratanov 
Publication date: 19 December 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://repository.urosario.edu.co/bitstream/handle/10336/11296/1919.pdf
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Cited In (34)
- Some results on the telegraph process confined by two non-standard boundaries
- Option pricing driven by a telegraph process with random jumps
- First crossing times of telegraph processes with jumps
- Reflection principle for finite-velocity random motions
- Generalized Telegraph Process with Random Jumps
- Occupation time distributions for the telegraph process
- Large deviation principles for telegraph processes
- On piecewise linear processes
- Option pricing and CVaR hedging in the regime-switching telegraph market model
- Double Telegraph Processes and Complete Market Models
- Option pricing under a jump-telegraph diffusion model with jumps of random size
- Option pricing under jump-diffusion processes with regime switching
- Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals
- On financial markets based on telegraph processes
- Kac's rescaling for jump-telegraph processes
- Least-squares change-point estimation for the telegraph process observed at discrete times
- Optimal dividend policy when cash surplus follows the telegraph process
- Self-exciting piecewise linear processes
- Hypo-exponential distributions and compound Poisson processes with alternating parameters
- Damped jump-telegraph processes
- On the asymmetric telegraph processes
- Ornstein-Uhlenbeck processes of bounded variation
- Telegraph processes with random jumps and complete market models
- On the generalized telegraph process with deterministic jumps
- Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment
- Differential and integral equations for jump random motions
- Option pricing model based on a Markov-modulated diffusion with jumps
- Stochastic velocity motions and processes with random time
- Probability law and flow function of Brownian motion driven by a generalized telegraph process
- Jump telegraph processes and financial markets with memory
- Parametric estimation for the standard and geometric telegraph process observed at discrete times
- Telegraph Processes and Option Pricing
- Estimation of regime-switching diffusions via Fourier transforms
- Asymptotic results for sums of independent random variables with alternating laws
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