Hypo-exponential distributions and compound Poisson processes with alternating parameters
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DOI: 10.1016/j.spl.2015.08.006
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- Antonio Di Crescenzo & Shelemyahu Zacks, 2015. "Probability Law and Flow Function of Brownian Motion Driven by a Generalized Telegraph Process," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 761-780, September.
- Nikita Ratanov, 2008. "Option Pricing Model Based on a Markov-modulated Diffusion with Jumps," Papers 0812.0761, arXiv.org.
- Nikita Ratanov, 2007.
"A jump telegraph model for option pricing,"
Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 575-583.
- Nikita Ratanov, 2004. "A Jump Telegraph Model for Option Pricing," Borradores de Investigación 1919, Universidad del Rosario.
- Nikita Ratanov, 2015. "Telegraph Processes with Random Jumps and Complete Market Models," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 677-695, September.
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Cited by:
- Kim-Hung Li & Cheuk Ting Li, 2019. "Linear Combination of Independent Exponential Random Variables," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 253-277, March.
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Keywords
Poisson process; Markov-modulated Poisson process; Erlang distribution; Hypo-exponential distribution; Hyper-exponential distribution;All these keywords.
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