Diffusion approximations of the geometric Markov renewal processes and option price formulas (Q628848): Difference between revisions
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| Property / cites work: The Geometric Markov Renewal Processes with Application to Finance / rank | |||
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| Property / cites work: Contingent claims valuation when the security price is a combination of an Itō process and a random point process / rank | |||
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| Property / cites work: Option pricing: A simplified approach / rank | |||
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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Latest revision as of 19:46, 3 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Diffusion approximations of the geometric Markov renewal processes and option price formulas |
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Diffusion approximations of the geometric Markov renewal processes and option price formulas (English)
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8 March 2011
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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.
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geometric Markov renewal processes
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security market
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weak convergence analysis
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European call option
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pricing formulas
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