On prices' evolutions based on geometric telegrapher's process

By A. Di Crescenzo, F. Pellerey. 2002

63 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Finance

View Paper: https://www.semanticscholar.org/paper/1a3af4864ed3d85504bbe72600044994b5062721

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Artificial Intelligence

1. S. Zacks
2. Nikita Ratanov

In Finance

1. S. Zacks
2. Nikita Ratanov

Citations in the corpus

• Generalized integrated telegraph processes and the distribution of related stopping times (2004, background): “They also studied price evolution of risky assets, based on a geometric telegraph process (Di Crescenzo and Pellerey (2002)).”
• A jump telegraph model for option pricing (2004, methodology): “A ‘telegraph analogue’ of the Black–Scholes model has been discussed in Di Crescenzo and Pellerey (2002).”