Adelaide Research & Scholarship
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https://hdl.handle.net/2440/68007
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| Type: | Journal article |
| Title: | Characteristic functions and option valuation in a Markov chain market |
| Author: | Elliott, R. Liew, C. Siu, T. |
| Citation: | Computers and Mathematics with Applications, 2011; 62(1):65-74 |
| Publisher: | Pergamon-Elsevier Science Ltd |
| Issue Date: | 2011 |
| ISSN: | 0898-1221 |
| Statement of Responsibility: | Robert J. Elliott, Chuin Ching Liew and Tak Kuen Siu |
| Abstract: | We introduce an approach for valuing some path-dependent options in a discrete-time Markov chain market based on the characteristic function of a vector of occupation times of the chain. A pricing kernel is introduced and analytical formulas for the prices of Asian options and occupation time call options are derived. © 2011 Elsevier Ltd. All rights reserved. |
| Keywords: | Markov chain market Occupation times Characteristic functions Asian options Occupation time derivatives |
| Rights: | © 2011 Elsevier Ltd. All rights reserved. |
| DOI: | 10.1016/j.camwa.2011.04.050 |
| Description (link): | http://www.journals.elsevier.com/computers-and-mathematics-with-applications/ |
| Published version: | http://dx.doi.org/10.1016/j.camwa.2011.04.050 |
| Appears in Collections: | Aurora harvest 5 Mathematical Sciences publications |
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