Details about Nikita Ratanov

Access statistics for papers by Nikita Ratanov.

Last updated 2021-06-26. Update your information in the RePEc Author Service.

Short-id: pra277

Working Papers

2008

1. Jump Telegraph-Diffusion Option Pricing
   UNIMI - Research Papers in Economics, Business, and Statistics, Universitá degli Studi di Milano View citations (1)
2. Option Pricing Model Based on a Markov-modulated Diffusion with Jumps
   Papers, arXiv.org View citations (6)

2007

3. On Financial Markets Based on Telegraph Processes
   Papers, arXiv.org View citations (4)

2005

4. Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts
   Borradores de Investigación, Universidad del Rosario View citations (2)

2004

5. A Jump Telegraph Model for Option Pricing
   Borradores de Investigación, Universidad del Rosario View citations (5)
   See also Journal Article A jump telegraph model for option pricing, Quantitative Finance, Taylor & Francis Journals (2007) View citations (17) (2007)
6. Branching random motions, nonlinear hyperbolic systems and traveling waves
   Borradores de Investigación, Universidad del Rosario View citations (1)
7. Option Pricing Model Based on Telegraph Processes with Jumps
   Borradores de Investigación, Universidad del Rosario View citations (4)

Journal Articles

2021

1. On telegraph processes, their first passage times and running extrema
   Statistics & Probability Letters, 2021, 174, (C) View citations (3)

2020

2. First Crossing Times of Telegraph Processes with Jumps
   Methodology and Computing in Applied Probability, 2020, 22, (1), 349-370 View citations (1)

2017

3. Piecewise linear process with renewal starting points
   Statistics & Probability Letters, 2017, 131, (C), 78-86 View citations (1)

2016

4. Option Pricing Under Jump-Diffusion Processes with Regime Switching
   Methodology and Computing in Applied Probability, 2016, 18, (3), 829-845 View citations (2)

2015

5. Hypo-exponential distributions and compound Poisson processes with alternating parameters
   Statistics & Probability Letters, 2015, 107, (C), 71-78 View citations (1)
6. Telegraph Processes with Random Jumps and Complete Market Models
   Methodology and Computing in Applied Probability, 2015, 17, (3), 677-695 View citations (6)

2014

7. On piecewise linear processes
   Statistics & Probability Letters, 2014, 90, (C), 60-67 View citations (2)

2012

8. Kac’s rescaling for jump-telegraph processes
   Statistics & Probability Letters, 2012, 82, (10), 1768-1776 View citations (3)

2011

9. Occupation time distributions for the telegraph process
   Stochastic Processes and their Applications, 2011, 121, (8), 1816-1844 View citations (7)

2007

10. A jump telegraph model for option pricing
    Quantitative Finance, 2007, 7, (5), 575-583 View citations (17)
    See also Working Paper A Jump Telegraph Model for Option Pricing, Borradores de Investigación (2004) View citations (5) (2004)
11. Jump Telegraph Processes and Financial Markets with Memory
    International Journal of Stochastic Analysis, 2007, 2007, 1-19 View citations (1)

2005

12. Pricing Options under Telegraph Processes
    Revista de Economía del Rosario, 2005

2002

13. Planar random motions with drift
    International Journal of Stochastic Analysis, 2002, 15, 1-17