Characteristic functions and option valuation in a Markov chain market
Accessioned
2012-06-13T17:45:47ZAvailable
2012-06-13T17:45:47ZIssued
2011Other
Characteristic functionsAsian options
Occupation time derivatives
Subject
Markov chain marketOccupation times
Metadata
Show full item record
Abstract
We introduce an approach for valuing some path-dependent options in a discrete-time Markov chain market based on the characteristic function of a vector of occupation times of the chain. A pricing kernel is introduced and analytical formulas for the prices of Asian options and occupation time call options are derived.Refereed
YesArticle deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012