Characteristic functions and option valuation in a Markov chain market

DOI10.1016/J.CAMWA.2011.04.050zbMATH Open1228.91069OpenAlexW2026872648MaRDI QIDQ651452FDOQ651452

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Martingales and arbitrage in multiperiod securities markets
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• Mathematical methods for financial markets.
• THE RANGE OF TRADED OPTION PRICES
• Martingales and stochastic integrals in the theory of continuous trading
• A stochastic calculus model of continuous trading: Complete markets
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Option pricing: A simplified approach
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• Step options.
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• Expensive martingales
• Anomalous PDEs in Markov chains: domains of validity and numerical solutions
• An Introduction to Wavelets Through Linear Algebra
• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• A PDE approach to jump-diffusions
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market

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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