{"id":"https://openalex.org/W4250382353","doi":"https://doi.org/10.1017/s0021900200009578","title":"Option Pricing Driven by a Telegraph Process with Random Jumps","display_name":"Option Pricing Driven by a Telegraph Process with Random Jumps","publication_year":2012,"publication_date":"2012-09-01","ids":{"openalex":"https://openalex.org/W4250382353","doi":"https://doi.org/10.1017/s0021900200009578"},"language":"en","primary_location":{"id":"doi:10.1017/s0021900200009578","is_oa":true,"landing_page_url":"https://doi.org/10.1017/s0021900200009578","pdf_url":"https://www.cambridge.org/core/services/aop-cambridge-core/content/view/02CD988C507A0BC3258A0A05731C2447/S0021900200009578a.pdf/div-class-title-option-pricing-driven-by-a-telegraph-process-with-random-jumps-div.pdf","source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://www.cambridge.org/core/services/aop-cambridge-core/content/view/02CD988C507A0BC3258A0A05731C2447/S0021900200009578a.pdf/div-class-title-option-pricing-driven-by-a-telegraph-process-with-random-jumps-div.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5056564903","display_name":"Oscar L\u00f3pez","orcid":"https://orcid.org/0000-0002-8525-1137"},"institutions":[{"id":"https://openalex.org/I90803817","display_name":"Universidad del Rosario","ror":"https://ror.org/0108mwc04","country_code":"CO","type":"education","lineage":["https://openalex.org/I90803817"]}],"countries":["CO"],"is_corresponding":true,"raw_author_name":"Oscar L\u00f3pez","raw_affiliation_strings":["Universidad del Rosario"],"affiliations":[{"raw_affiliation_string":"Universidad del Rosario","institution_ids":["https://openalex.org/I90803817"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5069635460","display_name":"Nikita Ratanov","orcid":null},"institutions":[{"id":"https://openalex.org/I90803817","display_name":"Universidad del Rosario","ror":"https://ror.org/0108mwc04","country_code":"CO","type":"education","lineage":["https://openalex.org/I90803817"]}],"countries":["CO"],"is_corresponding":true,"raw_author_name":"Nikita Ratanov","raw_affiliation_strings":["Universidad del Rosario"],"affiliations":[{"raw_affiliation_string":"Universidad del Rosario","institution_ids":["https://openalex.org/I90803817"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5056564903","https://openalex.org/A5069635460"],"corresponding_institution_ids":["https://openalex.org/I90803817"],"apc_list":null,"apc_paid":null,"fwci":0.7682,"has_fulltext":true,"cited_by_count":10,"citation_normalized_percentile":{"value":0.81960716,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"49","issue":"03","first_page":"838","last_page":"849"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9976999759674072,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9976999759674072,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11182","display_name":"Auction Theory and Applications","score":0.9876000285148621,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T13187","display_name":"Diffusion and Search Dynamics","score":0.9702000021934509,"subfield":{"id":"https://openalex.org/subfields/1312","display_name":"Molecular Biology"},"field":{"id":"https://openalex.org/fields/13","display_name":"Biochemistry, Genetics and Molecular Biology"},"domain":{"id":"https://openalex.org/domains/1","display_name":"Life Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7622584104537964},{"id":"https://openalex.org/keywords/martingale","display_name":"Martingale (probability theory)","score":0.6659850478172302},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.49626046419143677},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.47300249338150024},{"id":"https://openalex.org/keywords/class","display_name":"Class (philosophy)","score":0.4629669189453125},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.45280224084854126},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.45020735263824463},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3813939392566681},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3173367977142334},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.17197442054748535},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.15288040041923523},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.12171885371208191},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.10090118646621704}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7622584104537964},{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.6659850478172302},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.49626046419143677},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.47300249338150024},{"id":"https://openalex.org/C2777212361","wikidata":"https://www.wikidata.org/wiki/Q5127848","display_name":"Class (philosophy)","level":2,"score":0.4629669189453125},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.45280224084854126},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.45020735263824463},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3813939392566681},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3173367977142334},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.17197442054748535},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.15288040041923523},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.12171885371208191},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.10090118646621704},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1017/s0021900200009578","is_oa":true,"landing_page_url":"https://doi.org/10.1017/s0021900200009578","pdf_url":"https://www.cambridge.org/core/services/aop-cambridge-core/content/view/02CD988C507A0BC3258A0A05731C2447/S0021900200009578a.pdf/div-class-title-option-pricing-driven-by-a-telegraph-process-with-random-jumps-div.pdf","source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.1017/s0021900200009578","is_oa":true,"landing_page_url":"https://doi.org/10.1017/s0021900200009578","pdf_url":"https://www.cambridge.org/core/services/aop-cambridge-core/content/view/02CD988C507A0BC3258A0A05731C2447/S0021900200009578a.pdf/div-class-title-option-pricing-driven-by-a-telegraph-process-with-random-jumps-div.pdf","source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320325380","display_name":"Universidad del Rosario","ror":"https://ror.org/0108mwc04"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4250382353.pdf","grobid_xml":"https://content.openalex.org/works/W4250382353.grobid-xml"},"referenced_works_count":14,"referenced_works":["https://openalex.org/W1963875897","https://openalex.org/W2012058749","https://openalex.org/W2020769838","https://openalex.org/W2030706836","https://openalex.org/W2058307814","https://openalex.org/W2084206021","https://openalex.org/W2086392115","https://openalex.org/W2094495898","https://openalex.org/W2108237853","https://openalex.org/W2132473809","https://openalex.org/W2142297400","https://openalex.org/W2151065060","https://openalex.org/W2963423626","https://openalex.org/W3125246470"],"related_works":["https://openalex.org/W3124616626","https://openalex.org/W3125573662","https://openalex.org/W3140311013","https://openalex.org/W3123672265","https://openalex.org/W4231412345","https://openalex.org/W3125739650","https://openalex.org/W2351666715","https://openalex.org/W1557402825","https://openalex.org/W3123482560","https://openalex.org/W2118599684"],"abstract_inverted_index":{"In":[0],"this":[1],"paper":[2],"we":[3],"propose":[4],"a":[5],"class":[6],"of":[7,48],"financial":[8],"market":[9],"models":[10,41],"which":[11,61],"are":[12,38,42],"based":[13],"on":[14],"telegraph":[15],"processes":[16],"with":[17],"alternating":[18],"tendencies":[19,37],"and":[20,31],"jumps.":[21],"It":[22],"is":[23],"assumed":[24],"that":[25,32],"the":[26,36,46],"jumps":[27],"have":[28],"random":[29],"sizes":[30],"they":[33],"occur":[34],"when":[35],"switching.":[39],"These":[40],"typically":[43],"incomplete,":[44],"but":[45],"set":[47],"equivalent":[49],"martingale":[50],"measures":[51],"can":[52],"be":[53,72],"described":[54],"in":[55],"detail.":[56],"We":[57],"provide":[58],"additional":[59],"suggestions":[60],"permit":[62],"arbitrage-free":[63],"option":[64],"prices":[65],"as":[66,68],"well":[67],"hedging":[69],"strategies":[70],"to":[71],"obtained.":[73]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":1},{"year":2013,"cited_by_count":2}],"updated_date":"2026-03-11T06:11:40.159057","created_date":"2025-10-10T00:00:00"}
