Elliott, RobertLiew, Chuin ChingSiu, Tak Kuen2012-06-132012-06-132011Robert 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 65-740898-1221http://hdl.handle.net/1880/48986Article deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012We 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.engMarkov chain marketOccupation timesCharacteristic functionsAsian optionsOccupation time derivativesjournal article10.11575/PRISM/34070