Limit theorems for prices of options written on semi-Markov processes (Q5018754): Difference between revisions

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Latest revision as of 14:10, 27 July 2024

scientific article; zbMATH DE number 7450421
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English
Limit theorems for prices of options written on semi-Markov processes
scientific article; zbMATH DE number 7450421

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    Limit theorems for prices of options written on semi-Markov processes (English)
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    22 December 2021
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    vanilla European options
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    continuous time semi-Markov multiplicative process
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    martingale option price
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    geometric Brownian motion
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