Characteristic functions and option valuation in a Markov Chain market

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

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)65-74
Number of pages10
JournalComputers and Mathematics with Applications
Issue number1
Publication statusPublished - Jul 2011


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