European and American options: The semi-Markov case

Author:

D’Amico Guglielmo,Janssen Jacques,Manca Raimondo

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference23 articles.

1. Markov and semi-Markov option pricing models with arbitrage possibility;Janssen;Applied Stochastic Models and Data Analysis,1997

2. Stochastic Processes with Applications to Finance;Kijima,2002

3. Statistical inference for Markov chain European option;D’Amico;Journal of Statistics and Management Systems,2006

4. An analytical approximation for the GARCH option pricing model;Duan;Journal of Computational Finance,1999

5. Pricing discretely monitored barrier options by a Markov chain;Duan;Journal of Derivatives,2003

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4. Bibliography;Basic Stochastic Processes;2015-08-07

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