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
Abstract: In this paper we propose to use a Markov chain in order to price contingent claims. In par...
Abstract: In this paper we propose to use a Markov chain in order to price contingent claims. In par...
The aim of this paper is the presentation of new models for option pricing that are discrete in time...
We introduce an approach for valuing some path-dependent options in a discrete-time Markov chain mar...
AbstractWe introduce an approach for valuing some path-dependent options in a discrete-time Markov c...
An efficient algorithm is developed to price European options in the presence of proportional transa...
In this paper we propose to use a Markov chain in order to price contingent claims. In particular, w...
http://www.brunel.ac.uk/about/acad/sssl/ssslresearch/efwps##2001An e cient algorithm is developed to...
>Magister Scientiae - MScThis dissertation studies the computation methods of pricing of Asian optio...
In this paper we propose to use a Markov chain in order to price contingent claims. In particular, w...
The paper presents a discrete-time model of nancial market, where the risky returns form a two-sta...
As increasingly large volumes of sophisticated options (called derivative securities) are traded in ...
This paper introduces the notion of option pricing in the context of financial markets. The discrete...
Copyright c ⃝ 2014 Petar Radkov. This is an open access article distributed under the Creative Commo...
In this paper, we develop an option valuation model in the context of a discrete-time multivariate M...
Abstract: In this paper we propose to use a Markov chain in order to price contingent claims. In par...
Abstract: In this paper we propose to use a Markov chain in order to price contingent claims. In par...
The aim of this paper is the presentation of new models for option pricing that are discrete in time...
We introduce an approach for valuing some path-dependent options in a discrete-time Markov chain mar...
AbstractWe introduce an approach for valuing some path-dependent options in a discrete-time Markov c...
An efficient algorithm is developed to price European options in the presence of proportional transa...
In this paper we propose to use a Markov chain in order to price contingent claims. In particular, w...
http://www.brunel.ac.uk/about/acad/sssl/ssslresearch/efwps##2001An e cient algorithm is developed to...
>Magister Scientiae - MScThis dissertation studies the computation methods of pricing of Asian optio...
In this paper we propose to use a Markov chain in order to price contingent claims. In particular, w...
The paper presents a discrete-time model of nancial market, where the risky returns form a two-sta...
As increasingly large volumes of sophisticated options (called derivative securities) are traded in ...
This paper introduces the notion of option pricing in the context of financial markets. The discrete...
Copyright c ⃝ 2014 Petar Radkov. This is an open access article distributed under the Creative Commo...
In this paper, we develop an option valuation model in the context of a discrete-time multivariate M...
Abstract: In this paper we propose to use a Markov chain in order to price contingent claims. In par...
Abstract: In this paper we propose to use a Markov chain in order to price contingent claims. In par...
The aim of this paper is the presentation of new models for option pricing that are discrete in time...
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