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- W2058307814 abstract "The paper develops a new class of financial market models. These models are based on generalised telegraph processes: Markov random flows with alternating velocities and jumps occurring when the velocities are switching. While such markets may admit an arbitrage opportunity, the model under consideration is arbitrage-free and complete if directions of jumps in stock prices are in a certain correspondence with their velocity and interest rate behaviour. An analog of the Black–Scholes fundamental differential equation is derived, but, in contrast with the Black–Scholes model, this equation is hyperbolic. Explicit formulas for prices of European options are obtained using perfect and quantile hedging." @default.
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- W2058307814 date "2008-04-01" @default.
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- W2058307814 title "On financial markets based on telegraph processes" @default.
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- W2058307814 doi "https://doi.org/10.1080/17442500701841156" @default.
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