Normal Deviation and Poisson Approximation of a Security Market by the Geometric Markov Renewal Processes

作者：Swishchuk Anatoliy^*; Islam Md Shafiqul

来源：Communications in Statistics - Theory and Methods, 2013, 42(8): 1488-1501.

DOI：10.1080/03610926.2011.588364

• Diffusion approximation
• Double average of GMRP
• Ergodic average of GMRP
• European call options
• Geometric Markov renewal process (GMRP)
• Normal deviations
• Poisson approximation

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.

• 出版日期2013-4-15