Diffusion approximations of the geometric Markov renewal processes and option price formulas
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Publication:628848
DOI10.1155/2010/347105zbMath1216.60057WikidataQ58651964 ScholiaQ58651964MaRDI QIDQ628848
Anatoliy Swishchuk, Md. Shafiqul Islam
Publication date: 8 March 2011
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/228940
European call option; geometric Markov renewal processes; pricing formulas; security market; weak convergence analysis
60F05: Central limit and other weak theorems
60J60: Diffusion processes
60K15: Markov renewal processes, semi-Markov processes
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Discrete-Time Semi-Markov Random Evolutions and their Applications, Normal Deviation and Poisson Approximation of a Security Market by the Geometric Markov Renewal Processes
Cites Work
- The Pricing of Options and Corporate Liabilities
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- The Geometric Markov Renewal Processes with Application to Finance
- Option pricing: A simplified approach
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