Limit theorems for prices of options written on semi-Markov processes
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Publication:5018754
DOI10.1090/tpms/1153zbMath1480.91294arXiv2104.04817OpenAlexW3159967167WikidataQ113822488 ScholiaQ113822488MaRDI QIDQ5018754
Publication date: 22 December 2021
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.04817
geometric Brownian motioncontinuous time semi-Markov multiplicative processmartingale option pricevanilla European options
Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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