scientific article; zbMATH DE number 1129914

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Publication:4380848

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DOI<link itemprop=identifier href="https://doi.org/10.1002/(SICI)1099-0747(199706)13:2<103::AID-ASM299>3.0.CO;2-Z" /><103::AID-ASM299>3.0.CO;2-Z 10.1002/(SICI)1099-0747(199706)13:2<103::AID-ASM299>3.0.CO;2-ZzbMath0887.90013MaRDI QIDQ4380848

Jacques Janssen, Giuseppe Di Biase, Raimondo Manca

Publication date: 17 March 1998

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

option pricing Markov and semi-Markov processes possibility of arbitrage

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Option pricing under a normal mixture distribution derived from the Markov tree model

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