Diffusion approximations of the geometric Markov ...
Description
Citation
| Title | Diffusion approximations of the geometric Markov renewal processes and option price formulas |
| Author(s) | S. Anatoliy, S. Islam |
| Journal | International Journal of Stochastic Analysis |
| Date | 2010 |
| Volume | 2010 |
| Issue | |
| Abstract | We consider the geometric Markov renewal processes as a model for a security market and study this processes in a diffusion approximation scheme. Weak convergence analysis and rates of convergence of ergodic geometric Markov renewal processes in diffusion scheme are presented. We present European call option pricing formulas in the case of ergodic, double-averaged, and merged diffusion geometric Markov renewal processes. |
Using APA 6th Edition citation style.
[Page generation failure. The bibliography processor requires a browser with Javascript enabled.]
Times viewed: 83
