We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Asymptotic Estimation of Two Telegraph Particle Collisions and Spread Options Valuations.
- Authors
Pogorui, Anatoliy A.; Swishchuk, Anatoliy; Rodríguez-Dagnino, Ramón M.
- Abstract
In this paper, we study collisions of two telegraph particles on a line that are described by telegraph processes between collisions. We obtain an asymptotic estimation of the number of collisions under Kac's condition for the cases where the direction-switching processes have the same parameters and different parameters. We also consider the application of these results to evaluate Margrabe's spread option for two assets of spot prices modeled by two telegraph processes.
- Subjects
COLLISIONS (Nuclear physics); TELEGRAPH &; telegraphy; SPOT prices; VALUATION
- Publication
Mathematics (2227-7390), 2022, Vol 10, Issue 13, p2201
- ISSN
2227-7390
- Publication type
Article
- DOI
10.3390/math10132201