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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 80, 2008 - Issue 2-3: A Festschrift for Priscilla Greenwood
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Original Articles

On financial markets based on telegraph processes

Nikita Ratanov Universidad del Rosario, Bogotá, Colombia
&
Alexander Melnikov University of Alberta, Edmonton, CanadaCorrespondence[email protected]
Pages 247-268 | Received 20 Aug 2007, Accepted 10 Nov 2007, Published online: 10 Oct 2008

Citations (20)

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Oscar López & Rafael Serrano. (2015) Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models. Stochastic Models 31:2, pages 261-291.
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Articles from other publishers (19)

Nikita Ratanov & Alexander D. KolesnikNikita Ratanov & Alexander D. Kolesnik. 2022. Telegraph Processes and Option Pricing. Telegraph Processes and Option Pricing 341 425 .
Nikita Ratanov & Alexander D. KolesnikNikita Ratanov & Alexander D. Kolesnik. 2022. Telegraph Processes and Option Pricing. Telegraph Processes and Option Pricing 65 188 .
Anatoliy A. Pogorui, Anatoliy Swishchuk & Ramón M. Rodríguez-Dagnino. (2021) Transformations of Telegraph Processes and Their Financial Applications. Risks 9:8, pages 147.
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Anatoliy Pogorui, Anatoliy Swishchuk & Ramón M. Rodríguez‐Dagnino. 2021. Random Motions in Markov and Semi‐Markov Random Environments 1. Random Motions in Markov and Semi‐Markov Random Environments 1 205 217 .
Anatoliy Pogorui, Anatoliy Swishchuk & Ramón M. Rodríguez‐Dagnino. 2021. Random Motions in Markov and Semi‐Markov Random Environments 2. Random Motions in Markov and Semi‐Markov Random Environments 2 177 189 .
Игорь Гермогенович Поспелов, Igor Germogenovich Pospelov, Станислав Андреевич Радионов & Stanislav Andreevich Radionov. (2021) Решение задачи оптимизации выплаты дивидендов фирмой, прибыль которой определяется телеграфным процессомOptimal Dividend Policy when Cash Surplus Follows the Telegraph Process. Математические заметки Matematicheskie Zametki 109:1, pages 135-149.
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I. G. Pospelov & S. A. Radionov. (2021) Optimal Dividend Policy when Cash Surplus Follows the Telegraph Process. Mathematical Notes 109:1-2, pages 125-135.
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Antonio Di Crescenzo, Antonella Iuliano, Barbara Martinucci & Shelemyahu Zacks. (2018) Generalized Telegraph Process with Random Jumps. Journal of Applied Probability 50:2, pages 450-463.
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Antonio Di Crescenzo, Antonella Iuliano, Barbara Martinucci & Shelemyahu Zacks. (2016) Generalized Telegraph Process with Random Jumps. Journal of Applied Probability 50:02, pages 450-463.
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Antonio Di Crescenzo & Barbara Martinucci. (2011) On the Generalized Telegraph Process with Deterministic Jumps. Methodology and Computing in Applied Probability 15:1, pages 215-235.
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Alexander D. Kolesnik & Nikita RatanovAlexander D. Kolesnik & Nikita Ratanov. 2013. Telegraph Processes and Option Pricing. Telegraph Processes and Option Pricing 89 125 .
Alexander D. Kolesnik & Nikita RatanovAlexander D. Kolesnik & Nikita Ratanov. 2013. Telegraph Processes and Option Pricing. Telegraph Processes and Option Pricing 69 88 .
Oscar López & Nikita Ratanov. (2016) Option Pricing Driven by a Telegraph Process with Random Jumps. Journal of Applied Probability 49:3, pages 838-849.
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Oscar López & Nikita Ratanov. (2016) Option Pricing Driven by a Telegraph Process with Random Jumps. Journal of Applied Probability 49:03, pages 838-849.
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Leonid Bogachev & Nikita Ratanov. (2011) Occupation time distributions for the telegraph process. Stochastic Processes and their Applications 121:8, pages 1816-1844.
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A. D. Wissner-Gross & C. E. Freer. (2010) Relativistic statistical arbitrage. Physical Review E 82:5.
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Antonio Di Crescenzo & Barbara Martinucci. (2016) A Damped Telegraph Random Process with Logistic Stationary Distribution. Journal of Applied Probability 47:1, pages 84-96.
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Antonio Di Crescenzo & Barbara Martinucci. (2016) A Damped Telegraph Random Process with Logistic Stationary Distribution. Journal of Applied Probability 47:01, pages 84-96.
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Igor Pospelov & Stanislav Radionov. (2015) Optimal Dividend Policy When Cash Surplus Follows Telegraph Process. SSRN Electronic Journal.
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