Jump Telegraph Processes and Financial Markets with Memory
نویسندگان
چکیده
منابع مشابه
Research Article Jump Telegraph Processes and Financial Markets with Memory
The paper develops a new class of financial market models. These models are based on generalized telegraph processes with alternating velocities and jumps occurring at switching velocities. The model under consideration is arbitrage-free and complete if the directions of jumps in stock prices are in a certain correspondence with their velocity and with the behaviour of the interest rate. A risk...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics and Stochastic Analysis
سال: 2007
ISSN: 1048-9533,1687-2177
DOI: 10.1155/2007/72326