Telegraph Processes and Option Pricing.pdf

Telegraph Processes and Option Pricing PDF

Alexander D. Kolesnik

The telegraph process is a useful mathematical model for describing the stochastic motion of a particle that moves with finite speed on the real line and alternates between two possible directions of motion at random time instants. That is why it can be considered as the finite-velocity counterpart of the classical Einstein-Smoluchowskis model of the Brownian motion in which the infinite speed of motion and the infinite intensity of the alternating directions are assumed.
The book will be interesting to specialists in the area of diffusion processes with finite speed of propagation and in financial modelling. It will also be useful for students and postgraduates who are taking their first steps in these intriguing and attractive fields.

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3642405258 ISBN
Englisch SPRACHE
Telegraph Processes and Option Pricing.pdf


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Sofia Voigt

8 Jul 2019 ... Generalized process of Ornstein–Uhlenbeck is defined in order to explain option pricing models when stochastic earning yield is an element of ... In addition to the Brownian motion and the compound Poisson jump process used widely in the traditional option pricing literature, the class of Lévy processes also ...

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(1999). Telegraph processes and option pricing. 2nd Nordic-Russian Symposium on Stochastic Analysis, (1997). Telegraph processes with reflecting and absorbing barriers in inhomogeneous media”. (1975). The pricing of options for jump processes. Rodney L. White Center Working Paper no. Telegraph Processes And Option Pricing …

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Key Words: Stochastic Process, Option Pricing, Black – Scholes Model,. Partial Differential Equation, Financial Derivatives, Option Contract and Heat. Equation. leptokurtic features under the risk-neutral measure(s) lead to the. “volatility smiles ” in option prices. fractal Brownian motion, and stable processes; see, for.

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