Pricing derivatives under a Markov skeleton process

DOI10.3969/J.ISSN.1001-4268.2015.04.003zbMATH Open1349.91273MaRDI QIDQ2992238FDOQ2992238

Authors: Zhaoli Jia, Shuguang Zhang, Fan Zhang 

Publication date: 10 August 2016

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zbMATH Keywords

characteristic functionpricingfast Fourier transformMarkov skeleton process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Markov renewal processes, semi-Markov processes (60K15)

Cited In (3)

• Title not available (Why is that?)
• Skimming pricing for a class of diffusion models
• Valuing convertible bonds under a Markov skeleton process

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