A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process
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Publication:3155280
DOI10.1081/STA-120028686zbMath1114.60328MaRDI QIDQ3155280
Dmitrii S. Silvestrov, Fredrik Stenberg
Publication date: 14 January 2005
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1081/sta-120028686
60K15: Markov renewal processes, semi-Markov processes
60K20: Applications of Markov renewal processes (reliability, queueing networks, etc.)
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