Name
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. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1016/j.camwa.2011.04.050 | Computers & Mathematics with Applications |
Keywords | Field | DocType |
Markov chain market,Occupation times,Characteristic functions,Asian options,Occupation time derivatives | Mathematical optimization,Valuation of options,Stochastic discount factor,Characteristic function (probability theory),Markov chain,Asian option,Mathematics | Journal |
Volume | Issue | ISSN |
62 | 1 | 0898-1221 |
Citations | PageRank | References |
0 | 0.34 | 2 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Robert J. Elliott | 1 | 333 | 50.13 |
| Chuin Ching Liew | 2 | 0 | 0.68 |
| Tak Kuen Siu | 3 | 114 | 20.25 |