Resumo

RATANOV, NIKITA. Telegraph models of financial markets. Rev.colomb.mat. [online]. 2007, vol.41, suppl.1, pp.247-252. ISSN 0034-7426.

In this paper we develop a financial market model based on continuous time random motions with alternating constant velocities and with jumps occurring when the velocity switches. If jump directions are in the certain correspondence with the velocity directions of the underlying random motion with respect to the interest rate, the model is free of arbitrage and complete. Memory effects of this model are discussed.

Palavras-chave : Jump telegraph process; european option pricing; perfect hedging; self-financing strategy; fundamental equation; historical volatility.

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