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- W1963875897 abstract "In this paper we introduce a financial market model based on continuous time random motions with alternating constant velocities and jumps occurring when the velocities are switching. This model is free of arbitrage if jump directions are in a certain correspondence with the velocities of the underlying random motion. Replicating strategies for European options are constructed in detail. Exact formulae for option prices are derived." @default.
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- W1963875897 date "2007-10-01" @default.
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- W1963875897 title "A jump telegraph model for option pricing" @default.
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- W1963875897 doi "https://doi.org/10.1080/14697680600991226" @default.
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