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
Semi-Markov Model and Its Application
β Scribed by Dr. R. K. Jain
- Publisher
- John Wiley and Sons
- Year
- 1987
- Tongue
- English
- Weight
- 218 KB
- Volume
- 29
- Category
- Article
- ISSN
- 0323-3847
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β¦ Synopsis
In this paper, a numerical procedure based on the theory of semi-Markov process is presented to study the prognosis of the cancer of cervix. Data is used to illustrate the predictive ability of the model.
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