A semi-martingale representation for a semi-Markov chain with application to finance (Q4686487)
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scientific article; zbMATH DE number 6950446
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A semi-martingale representation for a semi-Markov chain with application to finance |
scientific article; zbMATH DE number 6950446 |
Statements
A semi-martingale representation for a semi-Markov chain with application to finance (English)
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10 October 2018
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discrete time finite state semi-Markov chain
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semi-Markov switching Lévy process
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semi-martingale representation
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financial derivatives
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regime-switching binomial model
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