Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas
Joint Authors
Islam, M. Shafiqul
Swishchuk, Anatoliy
Source
International Journal of Stochastic Analysis
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-21, 21 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-12-19
Country of Publication
Egypt
No. of Pages
21
Main Subjects
Abstract EN
We consider the geometric Markov renewal processes as a model for a security market and study this processes in a diffusion approximation scheme.
Weak convergence analysis and rates of convergence of ergodic geometric Markov renewal processes in 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.
American Psychological Association (APA)
Swishchuk, Anatoliy& Islam, M. Shafiqul. 2010. Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas. International Journal of Stochastic Analysis،Vol. 2010, no. 2010, pp.1-21.
https://search.emarefa.net/detail/BIM-464614
Modern Language Association (MLA)
Swishchuk, Anatoliy& Islam, M. Shafiqul. Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas. International Journal of Stochastic Analysis No. 2010 (2010), pp.1-21.
https://search.emarefa.net/detail/BIM-464614
American Medical Association (AMA)
Swishchuk, Anatoliy& Islam, M. Shafiqul. Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas. International Journal of Stochastic Analysis. 2010. Vol. 2010, no. 2010, pp.1-21.
https://search.emarefa.net/detail/BIM-464614
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-464614
