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Option Pricing Model Based on Telegraph Processes with Jumps

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Author Info
Nikita Ratanov ()

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Abstract

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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Paper provided by UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA in its series BORRADORES DE INVESTIGACIÓN with number 004330.

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Length: 14
Date of creation: 01 Jul 2004
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Handle: RePEc:col:000091:004330

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  1. Nikita Ratanov, 2005. "Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts," BORRADORES DE INVESTIGACIÓN 003410, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
  2. Nikita Ratanov, 2004. "A Jump Telegraph Model for Option Pricing," BORRADORES DE INVESTIGACIÓN 001919, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
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