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On prices' evolutions based on geometric telegrapher's process

On prices' evolutions based on geometric telegrapher's process The geometric telegrapher's process is proposed as a model to describe the dynamics of the price of risky assets. When the underlying random inter‐times have Erlang distribution we express the probability law of such process in terms of a suitable two‐index pseudo‐Bessel function. Stochastic comparisons of two geometric telegrapher's processes based on the usual stochastic order (FSD comparison) and on the stop‐loss order are also performed. Various examples of application of such comparisons are then provided. Copyright © 2002 John Wiley & Sons, Ltd. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Stochastic Models in Business and Industry Wiley

On prices' evolutions based on geometric telegrapher's process

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References (14)

Publisher
Wiley
Copyright
Copyright © 2002 John Wiley & Sons, Ltd.
ISSN
1524-1904
eISSN
1526-4025
DOI
10.1002/asmb.456
Publisher site
See Article on Publisher Site

Abstract

The geometric telegrapher's process is proposed as a model to describe the dynamics of the price of risky assets. When the underlying random inter‐times have Erlang distribution we express the probability law of such process in terms of a suitable two‐index pseudo‐Bessel function. Stochastic comparisons of two geometric telegrapher's processes based on the usual stochastic order (FSD comparison) and on the stop‐loss order are also performed. Various examples of application of such comparisons are then provided. Copyright © 2002 John Wiley & Sons, Ltd.

Journal

Applied Stochastic Models in Business and IndustryWiley

Published: Apr 1, 2002

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