This paper presents a future pricing model based on the discrete time homogeneous semi-Markov process (DTHSMP). The model is adapted to the real data of the Italian primary future stock index. After showing the pricing model, the DTHSMP solution is given. The solution of the semi-Markov process gives, for each period of the considered horizon time, and for each starting state, the probability distribution of the future price
Future Pricing through homogeneous semi-Markov Processes
DI BIASE, Giuseppe;
2005-01-01
Abstract
This paper presents a future pricing model based on the discrete time homogeneous semi-Markov process (DTHSMP). The model is adapted to the real data of the Italian primary future stock index. After showing the pricing model, the DTHSMP solution is given. The solution of the semi-Markov process gives, for each period of the considered horizon time, and for each starting state, the probability distribution of the future priceFile in questo prodotto:
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