A comparison of European and Asian options under Markov additive processes
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Publication:6322129
arXiv1907.06596MaRDI QIDQ6322129FDOQ6322129
Authors: David Woodford, Larbi Alili 
Publication date: 15 July 2019
Abstract: We provide results relating to the integrability, uniform integrability and local integrability of exponential MAPs, which are natural extensions of exponential Levy models. Then, we use Mellin transform and partial integro-differential equation methods to value European options under a such a model. Finally, a comparison is made between the price of a European call option and that of an Asian call option.
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70) Stochastic processes (60G99)
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