scientific article; zbMATH DE number 1129914

DOI10.1002/(SICI)1099-0747(199706)13:2%3C103::AID-ASM299%3E3.0.CO;2-ZMaRDI QIDQ4380848zbMATH OpenFDO

Authors Jacques Janssen, Raimondo Manca, Giuseppe Di Biase

Publication date 17 March 1998

Full work available at URL https://doi.org/10.1002/(SICI)1099-0747(199706)13:2%3C103::AID-ASM299%3E3.0.CO;2-Z

zbMATH Keywords

Markov and semi-Markov processesoption pricingpossibility 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)

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• Market Models with Optimal Arbitrage
• THE DYNAMIC PRICING FOR CALLABLE SECURITIES WITH MARKOV-MODULATED PRICES
• General Arbitrage Pricing Model: III – Possibility Approach
• Future pricing through homogeneous semi-Markov processes
• Learning Theory

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