The valuation of structured products using Markov chain models

DOI10.1080/14697688.2011.605383zbMath1280.91172OpenAlexW2142405042MaRDI QIDQ5746747

Martijn R. Pistorius, Dilip B. Madan, Wim Schoutens

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.605383

zbMATH Keywords

variance gammalocal Lévy modelSato processbarrier pricing

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Two price economies in continuous time ⋮ TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS ⋮ Momentum and reversion in risk neutral martingale probabilities ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market ⋮ Finite Mixture Approximation of CARMA(p,q) Models

Cites Work

• MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
• THE RANGE OF TRADED OPTION PRICES
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Pricing and hedging basket options to prespecified levels of acceptability

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