The valuation of structured products using Markov chain models

DOI10.1080/14697688.2011.605383MaRDI QIDQ5746747zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan, Martijn R. Pistorius, 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

barrier pricinglocal Lévy modelSato processvariance gamma

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)

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Cites work

• Markets as a counterparty: an introduction to conic finance
• Pricing and hedging basket options to prespecified levels of acceptability
• SELF-DECOMPOSABILITY AND OPTION PRICING
• THE RANGE OF TRADED OPTION PRICES

Cited in

(7)

• Pricing American options by a Fourier transform multinomial tree in a conic market
• Two price economies in continuous time
• Finite mixture approximation of CARMA(p,q) models
• Momentum and reversion in risk neutral martingale probabilities
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Closed-form approximations for spread options in Lévy markets
• Valuation of structured risk management products

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