Characteristic functions and option valuation in a Markov chain market

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dc.contributor.authorElliott, Roberteng
dc.contributor.authorLiew, Chuin Chingeng
dc.contributor.authorSiu, Tak Kueneng
dc.date.accessioned2012-06-13T17:45:47Z
dc.date.available2012-06-13T17:45:47Z
dc.date.issued2011
dc.descriptionArticle deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012eng
dc.description.abstractWe 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.eng
dc.description.refereedYeseng
dc.identifier.citationRobert 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 65-74eng
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/34070
dc.identifier.issn0898-1221
dc.identifier.urihttp://hdl.handle.net/1880/48986
dc.language.isoengeng
dc.publisherElseviereng
dc.publisher.corporateUniversity of Calgaryeng
dc.publisher.facultyHaskayne School of Businesseng
dc.publisher.hasversionPost-print
dc.publisher.urlhttp://www.journals.elsevier.com/computers-and-mathematics-with-applications/eng
dc.subjectMarkov chain marketeng
dc.subjectOccupation timeseng
dc.subject.otherCharacteristic functionseng
dc.subject.otherAsian optionseng
dc.subject.otherOccupation time derivativeseng
dc.titleCharacteristic functions and option valuation in a Markov chain marketeng
dc.typejournal articleeng
thesis.degree.disciplineFinanceeng
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