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

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Lévy Processes and Stochastic Calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Vector-valued Laplace Transforms and Cauchy Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Abstract Cauchy problems for the generalized fractional calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit theorems for coupled continuous time random walks. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4941947 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4888858 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3794956 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3992980 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Derivatives pricing with marked point processes using tick-by-tick data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Renewal Theory From the Point of View of the Theory of Probability / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4061759 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Options Prices in Incomplete Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Foundations of Modern Probability / rank
 
Normal rank
Property / cites work
 
Property / cites work: General fractional calculus, evolution equations, and renewal processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On some properties of the Mittag-Leffler function \(E_\alpha(-t^\alpha)\), completely monotone for \(t>0\) with \(0<\alpha<1\) / rank
 
Normal rank
Property / cites work
 
Property / cites work: The fractional Poisson process and the inverse stable subordinator / rank
 
Normal rank
Property / cites work
 
Property / cites work: Triangular array limits for continuous time random walks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic models for fractional calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semi-Markov approach to continuous time random walk limit processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Relaxation patterns and semi-Markov dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing when underlying stock returns are discontinuous / rank
 
Normal rank
Property / cites work
 
Property / cites work: Self-similar Cauchy problems and generalized Mittag-Leffler functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semi-Markov processes, integro-differential equations and anomalous diffusion-aggregation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on intraday option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lévy mixing related to distributed order calculus, subordinators and slow diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bernstein functions. Theory and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5244856 / rank
 
Normal rank

Latest revision as of 14:10, 27 July 2024

scientific article; zbMATH DE number 7450421
Language Label Description Also known as
English
Limit theorems for prices of options written on semi-Markov processes
scientific article; zbMATH DE number 7450421

    Statements

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

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references