Telegraph processes and option pricing
Auteur :
Ratanov, Nikita / Kolesnik, Alexander D.
Éditeur :
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN :
9783662658260
Date de publication :
5 janv. 2023
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Allemagne
The chapter on functionals of the telegraph process has been significantly expanded by adding sections on exponential functionals, telegraph meanders and running extrema, the times of the first passages of telegraph processes with alternating random jumps, and distribution of the Euclidean distance between two independent telegraph processes.