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Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/68007
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dc.contributor.authorElliott, R.-
dc.contributor.authorLiew, C.-
dc.contributor.authorSiu, T.-
dc.date.issued2011-
dc.identifier.citationComputers and Mathematics with Applications, 2011; 62(1):65-74-
dc.identifier.issn0898-1221-
dc.identifier.urihttp://hdl.handle.net/2440/68007-
dc.description.abstractWe 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.-
dc.description.statementofresponsibilityRobert J. Elliott, Chuin Ching Liew and Tak Kuen Siu-
dc.description.urihttp://www.journals.elsevier.com/computers-and-mathematics-with-applications/-
dc.language.isoen-
dc.publisherPergamon-Elsevier Science Ltd-
dc.rights© 2011 Elsevier Ltd. All rights reserved.-
dc.source.urihttp://dx.doi.org/10.1016/j.camwa.2011.04.050-
dc.subjectMarkov chain market-
dc.subjectOccupation times-
dc.subjectCharacteristic functions-
dc.subjectAsian options-
dc.subjectOccupation time derivatives-
dc.titleCharacteristic functions and option valuation in a Markov chain market-
dc.typeJournal article-
dc.identifier.doi10.1016/j.camwa.2011.04.050-
pubs.publication-statusPublished-
Appears in Collections:Aurora harvest 5
Mathematical Sciences publications

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