Optimal Stopping of Geometric Markov Renewal Chains and Pricing
Author:
Publisher
Springer Nature Switzerland
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-33429-0_8
Reference19 articles.
1. Aase, K. (1988). Contingent claims valuation when the securities price is a combination of an Ito process and a random point process. Stochastic Processes and their Applications, 28, 185–220.
2. Barbu, V., & Limnios, N. (2008). Semi-Markov Chains and Hidden Semi-Markov Models. Toward Applications – Their use in Reliability and DNA Analysis (Lecture Notes in Statistics, Vol. 191). New York: Springer.
3. Björk, T. (1998). Arbitrage in continuous time. New York, NY: Oxford University Press Inc.
4. Chow, Y., Robbins, H., & Siegmund, D. (1971). The theory of optimal stopping rules. Boston: Houghton Miffin Company.
5. Cox, J. C., Ross, R. A., & Rubinstein, M. (1976). Option pricing: A simplified approach. Journal of Financial Economics, 7, 229–263.
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