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