Macquarie University, Sydney Macquarie University ResearchOnline

Showing items 1 - 3 of 3.

Add to Quick Collection   All 3 Results

  • First
  • Previous
  • 1
  • Next
  • Last
Sort:
 Add All Items to Quick Collection
Date: 2017
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1251264
Description: This paper sets out to provide a general framework for the pricing of average-type options via lower and upper bounds. This class of options includes Asian, basket, and options on the volume-weighted ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143435
Description: 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 ker ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/170484
Description: We study the pricing and hedging of contingent claims in a Markov regime-switching market with a money market account, a zero-coupon bond, and an ordinary share. General contingent claims with payoffs ... More
Reviewed: Reviewed
  • First
  • Previous
  • 1
  • Next
  • Last