Characteristic functions and option valuation in a Markov chain market (Q651452)
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scientific article; zbMATH DE number 5989148
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| English | Characteristic functions and option valuation in a Markov chain market |
scientific article; zbMATH DE number 5989148 |
Statements
Characteristic functions and option valuation in a Markov chain market (English)
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18 December 2011
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Markov chain market
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occupation times
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characteristic functions
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asian options
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occupation time derivatives
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0.7824230790138245
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0.7807264924049377
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0.7749462723731995
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0.7648026943206787
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