par Janssen, Jacques ;Manca, Raimondo;Di Biase, Giuseppe
Référence Applied stochastic models and data analysis, 13, 2, page (103-113)
Publication Publié, 1997-06
Article révisé par les pairs
Résumé : The aim of this paper is the presentation of new models for option pricing that are discrete in time and in the framework of Markov and semi-Markov processes as an alternative to the classical Cox-Rubinstein model, and that also allow the possibility of arbitrage. Both cases of European and American options are considered and possible extensions are given. © 1997 by John Wiley & Sons, Ltd.