Normal deviation and Poisson approximation of a security market by the geometric Markov renewal processes (Q4929202)
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scientific article; zbMATH DE number 6175410
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| English | Normal deviation and Poisson approximation of a security market by the geometric Markov renewal processes |
scientific article; zbMATH DE number 6175410 |
Statements
Normal Deviation and Poisson Approximation of a Security Market by the Geometric Markov Renewal Processes (English)
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13 June 2013
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diffusion approximation
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double average of GMRP
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ergodic average of GMRP
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European call options
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geometric Markov renewal process (GMRP)
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normal deviations
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Poisson approximation
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0.8923446536064148
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0.8836778402328491
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0.7270532846450806
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0.7254669666290283
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