Normal Deviation and Poisson Approximation of a Security Market by the Geometric Markov Renewal Processes
DOI10.1080/03610926.2011.588364zbMath1267.60100OpenAlexW2084873452MaRDI QIDQ4929202
Md. Shafiqul Islam, Anatoliy Swishchuk
Publication date: 13 June 2013
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2011.588364
diffusion approximationPoisson approximationEuropean call optionsnormal deviationsdouble average of GMRPergodic average of GMRPgeometric Markov renewal process (GMRP)
Central limit and other weak theorems (60F05) Markov renewal processes, semi-Markov processes (60K15) Financial applications of other theories (91G80)
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Cites Work
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- Increment processes and its stochastic exponential with Markov switching in Poisson approximation scheme
- Diffusion approximations of the geometric Markov renewal processes and option price formulas
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- The Geometric Markov Renewal Processes with Application to Finance
- Option pricing: A simplified approach
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