Option Pricing Model Based on Telegraph Processes with Jumps

In this paper we overcome a lacks of Black-Scholes model, i.e. the infinite propagation velocity, the infinitely large asset prices etc. The proposed model is based on the telegraph process with jumps. The option price formula is derived.

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Year of publication:	2004-07-01
Authors:	Ratanov, Nikita
Institutions:	UNIVERSIDAD DEL ROSARIO
Subject:	Telegraph Processes \| option pricing

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Series:	BORRADORES DE INVESTIGACIÓN.
Type of publication:	Book / Working Paper
Language:	English
Notes:	1 pages long
Classification:	G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005466581