Pricing occupation-time options in a mixed-exponential jump-diffusion model (1603.09329v1)

Published 30 Mar 2016 in math.PR and q-fin.MF

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.

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