3 papers
math.PR2013
Damped jump-telegraph processes
Nikita Ratanov
We study a one-dimensional Markov modulated random walk with jumps. It is assumed that amplitudes of jumps as well as a chosen velocity regime are random and depend on a time spent…
q-fin.PR2008
Option Pricing Model Based on a Markov-modulated Diffusion with Jumps
Nikita Ratanov
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…
q-fin.TR2007
On Financial Markets Based on Telegraph Processes
Nikita Ratanov, Alexander Melnikov
The paper develops a new class of financial market models. These models are based on generalized telegraph processes: Markov random flows with alternating velocities and jumps occu…