Diffusion approximations of the geometric Markov renewal processes and option price formulas.
Swishchuk, Anatoliy; Islam, M.Shafiqul
International Journal of Stochastic Analysis (2010)
- Volume: 2010, page Article ID 347105, 21 p.-Article ID 347105, 21 p.
- ISSN: 2090-3332
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topSwishchuk, Anatoliy, and Islam, M.Shafiqul. "Diffusion approximations of the geometric Markov renewal processes and option price formulas.." International Journal of Stochastic Analysis 2010 (2010): Article ID 347105, 21 p.-Article ID 347105, 21 p.. <http://eudml.org/doc/228940>.
@article{Swishchuk2010,
author = {Swishchuk, Anatoliy, Islam, M.Shafiqul},
journal = {International Journal of Stochastic Analysis},
keywords = {geometric Markov renewal processes; security market; weak convergence analysis; European call option; pricing formulas},
language = {eng},
pages = {Article ID 347105, 21 p.-Article ID 347105, 21 p.},
publisher = {Hindawi Publishing Corporation, New York},
title = {Diffusion approximations of the geometric Markov renewal processes and option price formulas.},
url = {http://eudml.org/doc/228940},
volume = {2010},
year = {2010},
}
TY - JOUR
AU - Swishchuk, Anatoliy
AU - Islam, M.Shafiqul
TI - Diffusion approximations of the geometric Markov renewal processes and option price formulas.
JO - International Journal of Stochastic Analysis
PY - 2010
PB - Hindawi Publishing Corporation, New York
VL - 2010
SP - Article ID 347105, 21 p.
EP - Article ID 347105, 21 p.
LA - eng
KW - geometric Markov renewal processes; security market; weak convergence analysis; European call option; pricing formulas
UR - http://eudml.org/doc/228940
ER -
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