Doklady Mathematics

, 75:115 | Cite as

Nonhomogeneous telegraph processes and their application to financial market modeling

  • A. V. Melnikov
  • N. E. Ratanov


Option Price DOKLADY Mathematic Risky Asset Martingale Measure Strike Price 
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    M. Kac, Rocky Mountain J. Math. 4, 497–509 (1974).zbMATHMathSciNetCrossRefGoogle Scholar
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    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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