Pogorui A. A.
ORCID: https://orcid.org/0000-0002-1563-8934, Swishchuk A.ORCID: https://orcid.org/0000-0002-4822-9934 and Rodríguez-Dagnino R. M.ORCID: https://orcid.org/0000-0003-2199-115X
(2022)
Asymptotic Estimation of Two Telegraph Particle Collisions and Spread Options Valuations.
Mathematics. Т. 10, № 13.
pp. 1-14.
ISSN 2227-7390.
DOI: 10.3390/math10132201.
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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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | telegraph process; Markov stochastic evolution; collision number; Kac’s condition; Laplace transform |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Physics and Mathematics > Department of Algebra and Geometry |
| Depositing User: | Анатолій Олександрович Погоруй |
| Date Deposited: | 22 Jul 2026 01:13 |
| Last Modified: | 22 Jul 2026 01:13 |
| URI: | https://eprints.zu.edu.ua/id/eprint/49015 |
| ДСТУ 8302:2015: | Pogorui A. A. and Swishchuk A. and Rodríguez-Dagnino R. M. Asymptotic Estimation of Two Telegraph Particle Collisions and Spread Options Valuations. Mathematics. 2022. Т. 10, № 13. pp. 1-14. DOI: 10.3390/math10132201. |
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