On prices' evolutions based on geometric telegrapher's process

Antonio Di Crescenzo and Franco Pellerey

Applied Stochastic Models in Business and Industry, 2002, vol. 18, issue 2, 171-184

Abstract: The geometric telegrapher's process is proposed as a model to describe the dynamics of the price of risky assets. When the underlying random inter‐times have Erlang distribution we express the probability law of such process in terms of a suitable two‐index pseudo‐Bessel function. Stochastic comparisons of two geometric telegrapher's processes based on the usual stochastic order (FSD comparison) and on the stop‐loss order are also performed. Various examples of application of such comparisons are then provided. Copyright © 2002 John Wiley & Sons, Ltd.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:18:y:2002:i:2:p:171-184

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