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Future pricing through homogeneous semi-Markov processes

✍ Scribed by Giuseppe Di Biase; Jacques Janssen; Raimondo Manca

Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
109 KB
Volume
21
Category
Article
ISSN
1524-1904

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✦ Synopsis

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.

πŸ“œ SIMILAR VOLUMES

On Some Application of Non-Homogeneous S
On Some Application of Non-Homogeneous Semi-Markov Processes
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h this paper a non-homogeneous semi-Markov process is applied t o a study of the behaviour of a cell after irradiation. Tho definition .and main properties of the non-homogeneous semi-Markov process are reminded. Moreover one aasumes that the cell may stay in one of four states namely, normal state,