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- W3125280298 abstract "The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are switching. We argue that such a model captures well the stock price dynamics under periodic financial cycles. The distribution of this process is described in detail. For this model we obtain the structure of the set of martingale measures. This incomplete model can be completed by adding another asset based on the same sources of randomness. Explicit closed-form formulae for prices of the standard European options are obtained for the completed market model." @default.
- W3125280298 created "2021-02-01" @default.
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- W3125280298 date "2008-12-01" @default.
- W3125280298 modified "2023-09-27" @default.
- W3125280298 title "Option Pricing Model Based on a Markov-modulated Diffusion with Jumps" @default.
- W3125280298 hasPublicationYear "2008" @default.
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