Transformations of Telegraph Processes and Their Financial Applications

Transformations of Telegraph Processes and Their Financial Applications

In this paper, we consider non-linear transformations of classical telegraph process. The main results consist of deriving a general partial differential Equation (PDE) for the probability density (pdf) of the transformed telegraph process, and then presenting the limiting PDE under Kac’s conditions...

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Bibliographic Details
Main Authors: Anatoliy A. Pogorui, Anatoliy Swishchuk, Ramón M. Rodríguez-Dagnino
Format: Article
Language:English
Published: MDPI AG 2021-08-01
Series:Risks
Subjects:
classical telegraph equation
transformations of telegraph equation
asymmetric telegraph equation
Black–Scholes formula
European call and put options
Online Access:https://www.mdpi.com/2227-9091/9/8/147

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https://www.mdpi.com/2227-9091/9/8/147

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