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Title: Characteristic functions and option valuation in a Markov chain market
Authors: Elliott, Robert
Liew, Chuin Ching
Siu, Tak Kuen
Keywords: Markov chain market;Occupation times
Issue Date: 2011
Publisher: Elsevier
Citation: Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu, Characteristic functions and option valuation in a Markov chain market, Computers & Mathematics with Applications, Volume 62, Issue 1, July 2011, Pages 65-74
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.
Description: Article deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012
ISSN: 0898-1221
Appears in Collections:Elliott, Robert

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