A Jump Telegraph Model for Option Pricing
| Data(s) |
01/11/2004
|
|---|---|
| Resumo |
In this paper we introduce a financial market model based on continuos time random motions with alternanting constant velocities and with jumps ocurring when the velocity switches. if jump directions are in the certain corresondence with the velocity directions of the underlyng random motion with respect to the interest rate, the model is free of arbitrage. The replicating strategies for options are constructed in details. Closed form formulas for the opcion prices are obtained. |
| Formato |
application/pdf |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Facultad de Economía |
| Relação |
https://ideas.repec.org/p/col/000091/001919.html |
| Direitos |
info:eu-repo/semantics/openAccess |
| Fonte |
instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR instname:Universidad del Rosario |
| Palavras-Chave | #Mercadeo -- toma de decisiones #Planificación financiera #Telégrafo -- modelos matemáticas #384.13 |
| Tipo |
info:eu-repo/semantics/book info:eu-repo/semantics/acceptedVersion |
