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Details about Nikita Ratanov

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Last updated 2020-08-08. Update your information in the RePEc Author Service.

Short-id: pra277


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Working Papers

2008

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

2007

  1. On Financial Markets Based on Telegraph Processes
    Papers, arXiv.org Downloads View citations (1)

2005

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

2004

  1. A Jump Telegraph Model for Option Pricing
    Borradores de Investigación, Universidad del Rosario Downloads View citations (2)
    See also Journal Article in Quantitative Finance (2007)
  2. Branching random motions, nonlinear hyperbolic systems and traveling waves
    Borradores de Investigación, Universidad del Rosario Downloads
  3. Option Pricing Model Based on Telegraph Processes with Jumps
    Borradores de Investigación, Universidad del Rosario Downloads View citations (3)

Journal Articles

2012

  1. Kac’s rescaling for jump-telegraph processes
    Statistics & Probability Letters, 2012, 82, (10), 1768-1776 Downloads View citations (1)

2011

  1. Occupation time distributions for the telegraph process
    Stochastic Processes and their Applications, 2011, 121, (8), 1816-1844 Downloads

2007

  1. A jump telegraph model for option pricing
    Quantitative Finance, 2007, 7, (5), 575-583 Downloads View citations (6)
    See also Working Paper (2004)

2005

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