Semi-Markov Extensions of the Black-Scholes Model

Janssen Jacques and Manca Raimondo
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Janssen Jacques: Solvay Business School
Manca Raimondo: Università di Roma “La Sapienza”

Chapter Chapter 5 in Semi-Markov Risk Models for Finance, Insurance and Reliability, 2007, pp 171-230 from Springer

Keywords: Call Option; Underlying Asset; Exercise Price; Scholes Model; European Call Option (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-387-70730-3_5

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DOI: 10.1007/0-387-70730-1_5

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