Add to ORKGIn this paper we introduce a financial market model based on continuos time random motions with alternanting constant velocities and with jumps ocurring when the velocity switches. if jump directions are in the certain corresondence with the velocity directions of the underlyng random motion with respect to the interest rate, the model is free of arbitrage. The replicating strategies for options are constructed in details. Closed form formulas for the opcion prices are obtained
In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic v...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
International audienceIn this paper we propose new option pricing models based on class of models wi...
In this paper we introduce a financial market model based on continuos time random motions with alte...
Abstract. In this paper we introduce a financial market model based on continuous time random motion...
Abstract. In this paper we develop a financial market model based on contin-uous time random motions...
In this paper we propose a class of financial market models which are based on telegraph processes w...
The paper develops a class of financial market models with jumps based on aBrownian motion, and inho...
The paper develops a new class of financial market models. These models are based on generalized tel...
The paper develops a new class of financial market models. These models are based on generalised tel...
Se desarrolla una nueva clase de modelos de mercado financiero. Estos modelos se basan en procesos d...
The paper develops a new class of financial market models. These models are based on generalized tel...
En este artículo superamos las carencias del modelo de Black-Scholes, es decir, la velocidad de prop...
En este documento está desarrollado un modelo de mercado financiero basado en movimientos aleatorios...
The paper develops a new class of financial market models. These models are based on generalized tel...
In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic v...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
International audienceIn this paper we propose new option pricing models based on class of models wi...
In this paper we introduce a financial market model based on continuos time random motions with alte...
Abstract. In this paper we introduce a financial market model based on continuous time random motion...
Abstract. In this paper we develop a financial market model based on contin-uous time random motions...
In this paper we propose a class of financial market models which are based on telegraph processes w...
The paper develops a class of financial market models with jumps based on aBrownian motion, and inho...
The paper develops a new class of financial market models. These models are based on generalized tel...
The paper develops a new class of financial market models. These models are based on generalised tel...
Se desarrolla una nueva clase de modelos de mercado financiero. Estos modelos se basan en procesos d...
The paper develops a new class of financial market models. These models are based on generalized tel...
En este artículo superamos las carencias del modelo de Black-Scholes, es decir, la velocidad de prop...
En este documento está desarrollado un modelo de mercado financiero basado en movimientos aleatorios...
The paper develops a new class of financial market models. These models are based on generalized tel...
In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic v...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
International audienceIn this paper we propose new option pricing models based on class of models wi...