Option pricing in market models driven by telegraph processes with jumps
| Contribuinte(s) |
Ratanov, Nikita |
|---|---|
| Data(s) |
26/08/2014
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| Resumo |
Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta. Fondo de Investigación de la Universidad del Rosario proyecto DVG-140 Fondo de Investigación de la Universidad del Rosario proyecto DVG-097 Colciencias - Doctorados Nacionales This thesis is divided into two parts: the first part is devoted to present the telegraph processes, the Poisson processes with telegraph compensator and the jump-telegraph processes. The study presented in this first part includes the calculation of the distributions of each process, the means and variances, as well as the moment generating functions among other properties. The second part of the work is devoted to the option pricing models based on telegraph processes with jumps. In this part we show how to calculate the risk-neutral measures, find the no-arbitrage condition in this type of models and finally the price of European call and put options is calculated. |
| Formato |
application/pdf |
| Identificador | |
| Idioma(s) |
spa |
| Publicador |
Facultad de Economía |
| Direitos |
info:eu-repo/semantics/openAccess |
| Fonte |
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| Palavras-Chave | #Procesos de Poisson #Procesos telegráficos #515.43 #Telegraph processes #Poisson processes #Jump-telegraph processes #Option pricing |
| Tipo |
info:eu-repo/semantics/doctoralThesis info:eu-repo/semantics/acceptedVersion |
