Diffusion approximations of the geometric Markov renewal processes and option price formulas

DOI10.1155/2010/347105zbMath1216.60057OpenAlexW2046888594WikidataQ58651964 ScholiaQ58651964MaRDI QIDQ628848

Anatoliy Swishchuk, Md. Shafiqul Islam

Publication date: 8 March 2011

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/228940

zbMATH Keywords

European call optiongeometric Markov renewal processespricing formulassecurity marketweak convergence analysis

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60) Markov renewal processes, semi-Markov processes (60K15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Discrete-Time Semi-Markov Random Evolutions and their Applications ⋮ Normal Deviation and Poisson Approximation of a Security Market by the Geometric Markov Renewal Processes

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• The Geometric Markov Renewal Processes with Application to Finance
• Option pricing: A simplified approach

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