European and American options: The semi-Markov case
Year of publication: |
2009
|
---|---|
Authors: | D’Amico, Guglielmo ; Janssen, Jacques ; Manca, Raimondo |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 388.2009, 15, p. 3181-3194
|
Publisher: |
Elsevier |
Subject: | Semi-Markov processes | Backward recurrence time | European and American options | Wealth balance equation | Option value | Bare risk |
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