Future pricing through homogeneous semi‐Markov processes

Giuseppe Di Biase, Jacques Janssen and Raimondo Manca

Applied Stochastic Models in Business and Industry, 2005, vol. 21, issue 3, 241-249

Abstract: An Erratum for this article has been published in Applied Stochastic Models in Business and Industry 2005; (in press) This paper presents a future pricing model based on the discrete time homogeneous semi‐Markov process (DTHSMP). The model is adapted to the real data of the Italian primary future stock index. After showing the pricing model, the DTHSMP solution is given. The solution of the semi‐Markov process gives, for each period of the considered horizon time, and for each starting state, the probability distribution of the future price. Copyright © 2005 John Wiley & Sons, Ltd.

Date: 2005
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https://doi.org/10.1002/asmb.597

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:21:y:2005:i:3:p:241-249

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