Option Pricing Model Based on Telegraph Processes with Jumps

Nikita Ratanov ()

No 4330, Borradores de Investigación from Universidad del Rosario

Abstract: In this paper we overcome a lacks of Black-Scholes model, i.e. the infinite propagation velocity, the infinitely large asset prices etc. The proposed model is based on the telegraph process with jumps. The option price formula is derived.

Keywords: Telegraph Processes; option pricing (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Pages: 14
Date: 2004-07-01
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:col:000091:004330

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