Please use this identifier to cite or link to this item:
http://hdl.handle.net/1880/48986| 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 |
| URI: | http://hdl.handle.net/1880/48986 |
| ISSN: | 0898-1221 |
| Appears in Collections: | Elliott, Robert |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Elliott_Characteristic_functions_2011_postprint_file.pdf | 297.61 kB | Adobe PDF | View/Open |
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