The geometric Markov renewal processes with application to finance

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dc.contributor.advisorChen, Gemai
dc.contributor.advisorSwishchuk, Anatoliy
dc.contributor.authorZhang, Lifeng
dc.date.accessioned2017-12-18T22:30:29Z
dc.date.available2017-12-18T22:30:29Z
dc.date.issued2012
dc.descriptionBibliography: p. 107-109en
dc.description.abstractFirst, we give some basic concepts and properties on Markov and Semi-Markov Process­es and Chains, along with Wiener process and Levy process, all of which are prepared for the next Generalized Geometric Markov Renewal Processes. Next,we introduce Cox­Ross-Robinstein binomial model and Aase model, and based on them, generalized Geo­metric Markov Renewal Process models. Then, we consider geometric Markov renewal processes as models for a security market and also study the processes in a diffusion approximation and normal deviation scheme. As an application, we consider the case of two ergodic classes. We present European call option pricing formulas in the case of ergodic, double-averaged, and merged diffusion geometric markov renewal processes. Finally, we introduce Poisson averaging scheme for the geometric Markov renewal pro­cesses to obtain compound Poisson process with deterministic drift and derive its option price under risk-neutral measure. European call option pricing formulas for GMRP are presented. Key Words: Markov chains; Geometric markov renewal processes; Merged Markov space; Phase averaging; Double averaging; Diffusion approximations; European option pricing; Normal deviations; Poisson approximation.
dc.format.extentviii, 109 leaves : ill. ; 30 cm.en
dc.identifier.citationZhang, L. (2012). The geometric Markov renewal processes with application to finance (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/4703en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/4703
dc.identifier.urihttp://hdl.handle.net/1880/105704
dc.language.isoeng
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.titleThe geometric Markov renewal processes with application to finance
dc.typemaster thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameMaster of Science (MSc)
ucalgary.item.requestcopytrue
ucalgary.thesis.accessionTheses Collection 58.002:Box 2098 627942970
ucalgary.thesis.notesUARCen
ucalgary.thesis.uarcreleaseyen
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