Browsing by Author "Liew, Chuin Ching"

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    Characteristic functions and option valuation in a Markov chain market
    (Elsevier, 2011) Elliott, Robert; Liew, Chuin Ching; Siu, Tak Kuen
    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.
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    On filtering and estimation of a threshold stochastic volatility model
    (Elsevier, 2011) Elliott, Robert; Liew, Chuin Ching; Siu, Tak Kuen
    We derive a nonlinear filter and the corresponding filter-based estimates for a threshold autoregressive stochastic volatility (TARSV) model. Using the technique of a reference probability measure, we derive a nonlinear filter for the hidden volatility and related quantities. The filter-based estimates for the unknown parameters are then obtained from the EM algorithm.