Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas

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Swishchuk_IJSA_2010.pdf (595.44 KB)

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2010-11-08

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Hindawi Publishing Corporation

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Funding provided by the Open Access Authors Fund.

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Anatoliy Swishchuk and M. Shafiqul Islam, “Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas,” International Journal of Stochastic Analysis, vol. 2010, Article ID 347105, 21 pages, 2010. doi:10.1155/2010/347105.

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http://hdl.handle.net/1880/48617

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