Diffusion approximations of the geometric Markov renewal processes and option price formulas

DOI10.1155/2010/347105zbMATH Open1216.60057OpenAlexW2046888594WikidataQ58651964 ScholiaQ58651964MaRDI QIDQ628848FDOQ628848

Authors: Anatoliy Swishchuk, M. S. Islam 

Publication date: 8 March 2011

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/228940

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zbMATH Keywords

European call optiongeometric Markov renewal processespricing formulassecurity marketweak convergence analysis

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Markov renewal processes, semi-Markov processes (60K15)

Cites Work

• The pricing of options and corporate liabilities
• Option pricing: A simplified approach
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• 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
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Cited In (6)

• Normal deviation and Poisson approximation of a security market by the geometric Markov renewal processes
• Approximation of the distribution of a stationary Markov process with application to option pricing
• Discrete-time semi-Markov random evolutions and their applications
• A note on intraday option pricing
• Evolution process as an alternative to diffusion process and Black-Scholes formula
• The geometric Markov renewal processes with application to finance

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