A comparison of European and Asian options under Markov additive\n processes

2019/07/15 by David Woodford, Woodford, David, Larbi Alili +2
Economics, Econometrics and Finance · Mathematics · #60G99 #60J75 #91B70 #91G20 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Mathematical Dynamics and Fractals #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1907.06596

openalex publication_date 2019/07/15 · openalex created_date 2022/07/28 · openalex updated_date 2026/07/28

Abstract

We provide results relating to the integrability, uniform integrability and\nlocal integrability of exponential MAPs, which are natural extensions of\nexponential Levy models. Then, we use Mellin transform and partial\nintegro-differential equation methods to value European options under a such a\nmodel. Finally, a comparison is made between the price of a European call\noption and that of an Asian call option.\n

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