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. Copyright (c) 2005 John Wiley & Sons, Ltd.
Future pricing through homogeneous semi-Markov processes / Giuseppe Di, Biase; Jacques, Janssen; Manca, Raimondo. - In: APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY. - ISSN 1524-1904. - STAMPA. - 21:3(2005), pp. 241-249. [10.1002/asmb.597]
Future pricing through homogeneous semi-Markov processes
MANCA, Raimondo
2005
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 price. Copyright (c) 2005 John Wiley & Sons, Ltd.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
