Islam, MD Shafiqul, and Anatoliy Swishchuk. “Normal Deviation and Poisson Approximation of a Security Market by the Geometric Markov Renewal Processes”. Communications in Statistics: Theory & Methods, vol. 42, no. 8, 2013, pp. 1488-01, https://doi.org/10.1080/03610926.2011.588364.

Genre

  • Journal Article
Contributors
Author: Islam, MD Shafiqul
Author: Swishchuk, Anatoliy
Date Issued
2013
Abstract

We consider the geometric Markov renewal processes (GMRP) as a model for a security market. Normal deviations of the geometric Markov renewal processes for ergodic averaging and double averaging schemes are derived. We introduce Poisson averaging scheme for the geometric Markov renewal processes. European call option pricing formulas for GMRP are presented. [ABSTRACT FROM AUTHOR]

Language

  • English
Page range
1488-1501
Host Title
Communications in Statistics: Theory & Methods
Volume
42
Issue
8
ISSN
0361-0926
DOI
https://doi.org/10.1080/03610926.2011.588364

Department