A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process

DOI10.1081/STA-120028686MaRDI QIDQ3155280zbMATH OpenOpenAlexFDO

Authors D. 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

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• An explicit solution to an optimal stopping problem with regime switching
• scientific article; zbMATH DE number 3423386 (Why is no real title available?)
• scientific article; zbMATH DE number 3291764 (Why is no real title available?)
• Option pricing: A simplified approach
• The pricing of options and corporate liabilities

Cited in

(13)

• Semi-Markov migration process in a stochastic market in credit risk
• Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
• Pricing of variance and volatility swaps with semi-Markov volatilities
• scientific article; zbMATH DE number 1129914 (Why is no real title available?)
• Stylised facts of financial time series and hidden Markov models in continuous time
• A semi-martingale representation for a semi-Markov chain with application to finance
• Normal deviation and Poisson approximation of a security market by the geometric Markov renewal processes
• Future pricing through homogeneous semi-Markov processes
• A stochastic control approach to bid-ask price modelling
• Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering
• An econometric analysis of drawdown based measures
• Performance analysis for controlled semi-Markov systems with application to maintenance
• A micro-to-macro approach to returns, volumes and waiting times

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