Characteristic functions and option valuation in a Markov chain market

DOI10.1016/j.camwa.2011.04.050zbMath1228.91069MaRDI QIDQ651452

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

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 functions; occupation times; asian options; Markov chain market; occupation time derivatives

Mathematics Subject Classification ID

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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