Characteristic functions and option valuation in a Markov chain market

DOI10.1016/J.CAMWA.2011.04.050MaRDI QIDQ651452zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu

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

zbMATH Keywords

characteristic functionsoccupation timesasian optionsMarkov chain marketoccupation time derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 3513051 (Why is no real title available?)
• scientific article; zbMATH DE number 1889798 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
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• A stochastic calculus model of continuous trading: Complete markets
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• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• Expensive martingales
• Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Mathematical methods for financial markets.
• Option pricing: A simplified approach
• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• Step options.
• THE RANGE OF TRADED OPTION PRICES
• The pricing of options and corporate liabilities

Cited in

(4)

• On a Markov chain approximation method for option pricing with regime switching
• The valuation of structured products using Markov chain models
• Integration by parts and martingale representation for a Markov chain
• A note on differentiability in a Markov chain market using stochastic flows

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