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A pricing process with stochastic volatility controlled by a semi-Markov processPrimeFaces.cw("AccordionPanel","widget_formSmash_some",{id:"formSmash:some",widgetVar:"widget_formSmash_some",multiple:true}); PrimeFaces.cw("AccordionPanel","widget_formSmash_all",{id:"formSmash:all",widgetVar:"widget_formSmash_all",multiple:true});
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PrimeFaces.cw("AccordionPanel","widget_formSmash_responsibleOrgs",{id:"formSmash:responsibleOrgs",widgetVar:"widget_formSmash_responsibleOrgs",multiple:true}); 2004 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 33, no 3, 591-608 p.Article in journal (Refereed) Published
##### Abstract [sv]

##### Place, publisher, year, edition, pages

2004. Vol. 33, no 3, 591-608 p.
##### National Category

Mathematics
##### Identifiers

URN: urn:nbn:se:mdh:diva-4053DOI: 10.1081/STA-120028686ISI: 000220104900012OAI: oai:DiVA.org:mdh-4053DiVA: diva2:120594
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Available from: 2006-12-12 Created: 2006-12-12 Last updated: 2015-01-30Bibliographically approved
##### In thesis

This paper is devoted to the investigation of the geometrical Brownian motion as a price process where the drift and volatility are controlled by a semi-Markov process. Conditions of risk-neutral measure are given as well as a formula for the risk-neutral price for European options. The discrete version, the binomial model controlled by a semi-Markov chain, is examined and limit theorems describing the transition from discrete time binomial to continuous time model are given. A system of partial differential equations for distribution functions of average volatility is given. Related Monte Carlo algorithms are described.

1. Semi-Markov Models for Insurance and Option Rewards$(function(){PrimeFaces.cw("OverlayPanel","overlay120597",{id:"formSmash:j_idt707:0:j_idt711",widgetVar:"overlay120597",target:"formSmash:j_idt707:0:parentLink",showEvent:"mousedown",hideEvent:"mousedown",showEffect:"blind",hideEffect:"fade",appendToBody:true});});

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