Pricing occupation-time options in a mixed-exponential jump-diffusion model
Probability
2016-03-31 v1 Mathematical Finance
Abstract
In this short paper, in order to price occupation-time options, such as (double-barrier) step options and quantile options, we derive various joint distributions of a mixed-exponential jump-diffusion process and its occupation times of intervals.
Keywords
Cite
@article{arxiv.1603.09329,
title = {Pricing occupation-time options in a mixed-exponential jump-diffusion model},
author = {Djilali Ait Aoudia and Jean-François Renaud},
journal= {arXiv preprint arXiv:1603.09329},
year = {2016}
}