Characteristic functions and option valuation in a Markov chain market
From MaRDI portal
Publication:651452
DOI10.1016/j.camwa.2011.04.050zbMath1228.91069MaRDI QIDQ651452
Tak Kuen Siu, Chuin Ching Liew, Robert J. Elliott
Publication date: 18 December 2011
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2011.04.050
characteristic functions; occupation times; asian options; Markov chain market; occupation time derivatives
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
A Note on Differentiability in a Markov Chain Market Using Stochastic Flows, On a Markov chain approximation method for option pricing with regime switching, Integration by parts and martingale representation for a Markov chain
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