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Doklady Mathematics

, 75:115 | Cite as

Nonhomogeneous telegraph processes and their application to financial market modeling

  • A. V. Melnikov
  • N. E. Ratanov
Mathematics

Keywords

Option Price DOKLADY Mathematic Risky Asset Martingale Measure Strike Price 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

References

  1. 1.
    P. Brémaud, Point Processes and Queues: Martingale Dynamics (Springer-Verlag, New York, 1981).zbMATHGoogle Scholar
  2. 2.
    K. P. Hadeler, in Differential Equations with Applications to Biology, Ed. by S. Ruan, G. Wolkowicz, and J. Wu; Fields Inst. Commun. 21, 251–257 (1999).Google Scholar
  3. 3.
    M. Kac, Rocky Mountain J. Math. 4, 497–509 (1974).zbMATHMathSciNetCrossRefGoogle Scholar
  4. 4.
    I. Karatzas and S. E. Shreve, Methods of Mathematical Finance (Springer-Verlag, New York, 1998).zbMATHGoogle Scholar

Copyright information

© Pleiades Publishing, Ltd. 2007

Authors and Affiliations

  • A. V. Melnikov
    • 1
  • N. E. Ratanov
    • 2
  1. 1.Department of Mathematical and Statistical SciencesUniversity of AlbertaEdmontonCanada
  2. 2.Universidad del RosarioBogotáColombia

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