| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 472689 | Computers & Mathematics with Applications | 2011 | 10 Pages |
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.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu,