Characteristic functions and option valuation in a Markov chain market

DOI10.1016/j.camwa.2011.04.050zbMath1228.91069OpenAlexW2026872648MaRDI QIDQ651452

Tak Kuen Siu, Chuin Ching Liew, Robert J. Elliott

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

zbMATH Keywords

characteristic functionsoccupation timesasian optionsMarkov chain marketoccupation time derivatives

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Integration by parts and martingale representation for a Markov chain ⋮ On a Markov chain approximation method for option pricing with regime switching ⋮ A Note on Differentiability in a Markov Chain Market Using Stochastic Flows

Cites Work

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

This page was built for publication: Characteristic functions and option valuation in a Markov chain market