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scientific article; zbMATH DE number 1487767 - MaRDI portal

scientific article; zbMATH DE number 1487767

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Publication:4494282

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zbMath1028.91020MaRDI QIDQ4494282

Jacques Janssen, Raimondo Manca, Ernesto Volpe

Publication date: 27 January 2004

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic volatility Markov chain semi-Markov process Black-Scholes formula risk neutral measure European all option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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