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Telegraph Processes and Option PricingFunctionals of Telegraph Process

Telegraph Processes and Option Pricing: Functionals of Telegraph Process [In this chapter we study some important functionals of the telegraph processes. We derive the explicit formulae for the densities of the telegraph processes with reflecting and absorbing barriers, as well as first passage times and occupation time distributions. Our presentation corrects some inaccuracies and errors in this field.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

Telegraph Processes and Option PricingFunctionals of Telegraph Process

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Publisher
Springer Berlin Heidelberg
Copyright
© The Author(s) 2013
ISBN
978-3-642-40525-9
Pages
45 –68
DOI
10.1007/978-3-642-40526-6_3
Publisher site
See Chapter on Publisher Site

Abstract

[In this chapter we study some important functionals of the telegraph processes. We derive the explicit formulae for the densities of the telegraph processes with reflecting and absorbing barriers, as well as first passage times and occupation time distributions. Our presentation corrects some inaccuracies and errors in this field.]

Published: Oct 18, 2013

Keywords: Barriers; Occupation times; First passage time

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