A comparison of European and Asian options under Markov additive processes

David Woodford; Larbi Alili

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arXiv · 1907.06596

A comparison of European and Asian options under Markov additive processes

David Woodford·Larbi Alili

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Abstract

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

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David Woodford, Larbi Alili. 2019-08-09. A comparison of European and Asian options under Markov additive processes. https://arxiv.org/abs/1907.06596

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