Telegraph Processes and Option Pricing

DOI10.1007/978-3-662-65827-7MaRDI QIDQ6484787zbMATH OpenFDO

Authors Nikita Ratanov, Alexander D. Kolesnik

Publication date 7 September 2022

Published in 1515.60017 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-662-65827-7

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28) Transition functions, generators and resolvents (60J35) Brownian motion (60J65) Jump processes on general state spaces (60J76) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(12)

• Double Telegraph Processes and Complete Market Models
• scientific article; zbMATH DE number 5348132 (Why is no real title available?)
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• Series representations for the characteristic function of the multidimensional Markov random flight
• Constant speed random particles spontaneously confined on the surface of an expanding sphere
• Lorentz covariant physical Brownian motion: classical and quantum
• Some results on the supremum and on the first passage time of the generalized telegraph process
• On a finite-velocity random motion governed by a modified Euler-Poisson-Darboux equation
• Transience of continuous-time conservative random walks
• Metastability for telegraph processes in a double-well potential

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