✦ LIBER ✦
Markov and semi-Markov option pricing models with arbitrage possibility
✍ Scribed by Janssen, Jacques ;Manca, Raimondo ;Di Biase, Giuseppe
- Publisher
- John Wiley and Sons
- Year
- 1997
- Tongue
- English
- Weight
- 162 KB
- Volume
- 13
- Category
- Article
- ISSN
- 8755-0024
No coin nor oath required. For personal study only.
✦ Synopsis
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 options are considered and possible extensions are given.