Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas

Anatoliy Swishchuk and M. Shafiqul Islam

International Journal of Stochastic Analysis, 2010, vol. 2010, 1-21

Abstract:

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.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://downloads.hindawi.com/journals/IJSA/2010/347105.pdf (application/pdf)
http://downloads.hindawi.com/journals/IJSA/2010/347105.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:347105

DOI: 10.1155/2010/347105

Access Statistics for this article

More articles in International Journal of Stochastic Analysis from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().