• Information Technology
  • Human Resources
  • Careers
  • Giving
  • Library
  • Bookstore
  • Active Living
  • Continuing Education
  • Go Dinos
  • UCalgary Maps
  • UCalgary Directory
  • Academic Calendar
My UCalgary
Webmail
D2L
ARCHIBUS
IRISS
  • Faculty of Arts
  • Cumming School of Medicine
  • Faculty of Environmental Design
  • Faculty of Graduate Studies
  • Haskayne School of Business
  • Faculty of Kinesiology
  • Faculty of Law
  • Faculty of Nursing
  • Faculty of Nursing (Qatar)
  • Schulich School of Engineering
  • Faculty of Science
  • Faculty of Social Work
  • Faculty of Veterinary Medicine
  • Werklund School of Education
  • Information TechnologiesIT
  • Human ResourcesHR
  • Careers
  • Giving
  • Library
  • Bookstore
  • Active Living
  • Continuing Education
  • Go Dinos
  • UCalgary Maps
  • UCalgary Directory
  • Academic Calendar
  • Libraries and Cultural Resources
View Item 
  •   PRISM Home
  • Haskayne School of Business
  • Haskayne School of Business Research & Publications
  • View Item
  •   PRISM Home
  • Haskayne School of Business
  • Haskayne School of Business Research & Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Characteristic functions and option valuation in a Markov chain market

Thumbnail
Download
Elliott_Characteristic_functions_2011_postprint_file.pdf (297.6Kb)
Download Record
Download to EndNote/RefMan (RIS)
Download to BibTex
Author
Elliott, Robert
Liew, Chuin Ching
Siu, Tak Kuen
Accessioned
2012-06-13T17:45:47Z
Available
2012-06-13T17:45:47Z
Issued
2011
Other
Characteristic functions
Asian options
Occupation time derivatives
Subject
Markov chain market
Occupation times
Type
journal article
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
Yes
Article deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012
 
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
Corporate
University of Calgary
Faculty
Haskayne School of Business
Hasversion
Post-print
Url
http://www.journals.elsevier.com/computers-and-mathematics-with-applications/
Publisher
Elsevier
Doi
http://dx.doi.org/10.11575/PRISM/34070
Uri
http://hdl.handle.net/1880/48986
Collections
  • Haskayne School of Business Research & Publications

Browse

All of PRISMCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

My Account

LoginRegister

Download Results

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors

  • Email
  • SMS
  • 403.220.8895
  • Live Chat

Energize: The Campaign for Eyes High

Privacy Policy
Website feedback

University of Calgary
2500 University Drive NW
Calgary, AB T2N 1N4
CANADA

Copyright © 2017