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Kac’s rescaling for jump-telegraph processes


  • López, Oscar
  • Ratanov, Nikita


We present limit theorems for an asymmetric telegraph process with drift and jumps under different rescaling conditions. The explicit formulae for the related characteristic functions are derived by solving a Cauchy problem for the respective hyperbolic system.

Suggested Citation

  • López, Oscar & Ratanov, Nikita, 2012. "Kac’s rescaling for jump-telegraph processes," Statistics & Probability Letters, Elsevier, vol. 82(10), pages 1768-1776.
  • Handle: RePEc:eee:stapro:v:82:y:2012:i:10:p:1768-1776
    DOI: 10.1016/j.spl.2012.05.024

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    References listed on IDEAS

    1. Nikita Ratanov, 2007. "A jump telegraph model for option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 575-583.
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    Cited by:

    1. Oscar Lopez & Gerardo E. Oleaga & Alejandra Sanchez, 2019. "Jump-telegraph models for the short rate: pricing and convexity adjustments of zero coupon bonds," Papers 1901.02995,


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