Search Results - subject:"telegraph process"

Cox-based and elliptical telegraph processes and their applications

Pohoruj, Anatolij Oleksandrovyč; Sviščuk, Anatolij; … - In: Risks : open access journal 11 (2023) 7, pp. 1-15

This paper studies two new models for a telegraph process: Cox-based and elliptical telegraph processes. The paper … presented for a telegraph-Cox-based process (option pricing formulas) and elliptical telegraph process. … probability density function (PDF) of the particle position at a given time. We also generalize Kac's condition for the telegraph …

Persistent link: https://www.econbiz.de/10014340275

Jump Telegraph-Diffusion Option Pricing

Ratanov, Nikita - Dipartimento di Economia, Management e Metodi … - 2008

The paper develops a class of Financial market models with jumps based on a Brownian motion, and inhomogeneous telegraph processes: random motions with alternating velocities. We assume that jumps occur when the velocities are switching. The distribution of such a process is described in detail....

Persistent link: https://www.econbiz.de/10009324398

Change point estimation for the telegraph process observed at discrete times

Gregorio, Alessandro De; Iacus, Stefano - Dipartimento di Economia, Management e Metodi … - 2007

The telegraph process models a random motion with finite velocity and it is usually proposed as an alternative to …

Persistent link: https://www.econbiz.de/10009324457

Estimation for the discretely observed telegraph process

Iacus, Stefano; Yoshida, Nakahiro - Dipartimento di Economia, Management e Metodi … - 2006

The telegraph process {X(t), t>0}, is supposed to be observed at n+1 equidistant time points t_i=i Delta_n,i=0 …

Persistent link: https://www.econbiz.de/10009324423

Parametric estimation for the standard and the geometric telegraph process observed at discrete times

Iacus, Stefano; Gregorio, Alessandro De - Dipartimento di Economia, Management e Metodi … - 2006

The telegraph process $X(t)$, $t>0$, (Goldstein, 1951) and the geometric telegraph process $S(t) = s_0 \exp …

Persistent link: https://www.econbiz.de/10009324440

Pricing Options under Telegraph Processes

Ratanov, Nikita - In: REVISTA DE ECONOMÍA DEL ROSARIO (2005)

In this paper we introduce a financial market model based on continuous time random motions with alternating constant velocities and jumps, which occur with velocity switches. Given that jump directions match velocity directions of the underlying random motion properly in relation to interest...

Persistent link: https://www.econbiz.de/10005262823