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

zbMATH Keywords

diffusion approximationPoisson approximationEuropean call optionsnormal deviationsdouble average of GMRPergodic average of GMRPgeometric Markov renewal process (GMRP)

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov renewal processes, semi-Markov processes (60K15) Financial applications of other theories (91G80)

Related Items (1)

Discrete-Time Semi-Markov Random Evolutions and their Applications

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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