David Woodford

most citedA comparison of European and Asian options under Markov additive processes

1 citations · 1 across the 1 of their papers we have counts for

collaborators

2 papers

math.PR2019★ 1 cited

A comparison of European and Asian options under Markov additive processes

David Woodford, Larbi Alili

We provide results relating to the integrability, uniform integrability and local integrability of exponential MAPs, which are natural extensions of exponential Levy models. Then,…

math.PR2018

On finiteness and tails of perpetuities under a Lamperti-Kiu MAP

Larbi Alili, David Woodford

Consider a Lamperti-Kiu Markov additive process $(J_{t}, ξ_{t} : t \geq 0)$ on ${+, -} \times R \cup \infty$ where $J$ is the modulating Markov chain component. First, we study the fi…