A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process

DOI10.1081/STA-120028686zbMath1114.60328OpenAlexW2032332322MaRDI QIDQ3155280

Dmitrii S. Silvestrov, Fredrik Stenberg

Publication date: 14 January 2005

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-120028686

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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Valuing credit default swap in a non-homogeneous semi-Markovian rating based model ⋮ An econometric analysis of drawdown based measures ⋮ Performance analysis for controlled semi-Markov systems with application to maintenance ⋮ Semi-Markov migration process in a stochastic market in credit risk ⋮ Stylised facts of financial time series and hidden Markov models in continuous time

Cites Work

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• The Pricing of Options and Corporate Liabilities
• An explicit solution to an optimal stopping problem with regime switching
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Option pricing: A simplified approach

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