Diffusion approximations of the geometric Markov renewal processes and option price formulas (Q628848): Difference between revisions
From MaRDI portal
Latest revision as of 20:46, 3 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Diffusion approximations of the geometric Markov renewal processes and option price formulas |
scientific article |
Statements
Diffusion approximations of the geometric Markov renewal processes and option price formulas (English)
0 references
8 March 2011
0 references
Summary: We consider the geometric Markov renewal processes as a model for a security market and study these processes in a diffusion approximation scheme. A weak convergence analysis and rates of convergence of ergodic geometric Markov renewal processes in the diffusion scheme are presented. We present European call option pricing formulas in the case of ergodic, double-averaged, and merged diffusion geometric Markov renewal processes.
0 references
geometric Markov renewal processes
0 references
security market
0 references
weak convergence analysis
0 references
European call option
0 references
pricing formulas
0 references
0 references
