scientific article; zbMATH DE number 1487767

MaRDI QIDQ4494282zbMATH OpenFDO

Authors Jacques Janssen, Raimondo Manca, Ernesto Volpe

Publication date 27 January 2004

zbMATH Keywords

Black-Scholes formulaEuropean all option pricingMarkov chainrisk neutral measuresemi-Markov processstochastic volatility

Mathematics Subject Classification ID

Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(12)

• Option hedging for semimartingales
• Option price when the stock is a semimartingale
• Black-Scholes formula for a market in a random environment
• Evolution process as an alternative to diffusion process and Black-Scholes formula
• A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process
• Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
• A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES
• scientific article; zbMATH DE number 1897410 (Why is no real title available?)
• On the monotonicity and constancy of signs of some rational explicit methods for nonlinear systems of ordinary differential equations
• Semi‐efficient valuations and put‐call parity
• Limit theorems for prices of options written on semi-Markov processes
• A complete-market generalization of the Black-Scholes model

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