Diffusion approximations of the geometric Markov renewal processes and option price formulas (Q628848)
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scientific article; zbMATH DE number 5862311
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Diffusion approximations of the geometric Markov renewal processes and option price formulas |
scientific article; zbMATH DE number 5862311 |
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Diffusion approximations of the geometric Markov renewal processes and option price formulas (English)
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8 March 2011
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Summary: We consider the geometric Markov renewal processes as a model for a security market and study these processes in a diffusion approximation scheme. A weak convergence analysis and rates of convergence of ergodic geometric Markov renewal processes in the 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.
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geometric Markov renewal processes
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security market
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weak convergence analysis
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European call option
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pricing formulas
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0.90156984
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0.8897555
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