𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A semi-Markov model for price returns

✍ Scribed by Guglielmo D’Amico; Filippo Petroni

Book ID
116833879
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
317 KB
Volume
391
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Markov and semi-Markov option pricing mo
Markov and semi-Markov option pricing models with arbitrage possibility
✍ Janssen, Jacques ;Manca, Raimondo ;Di Biase, Giuseppe 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 162 KB 👁 1 views

The aim of this paper is the presentation of new models for option pricing that are discrete in time and in the framework of Markov and semi-Markov processes as an alternative to the classical Cox-Rubinstein model, and that also allow the possibility of arbitrage. Both cases of European and American

A Markov model of financial returns
A Markov model of financial returns
✍ M. Serva; U.L. Fulco; I.M. Gléria; M.L. Lyra; F. Petroni; G.M. Viswanathan 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 443 KB