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arXiv · 1603.09329

Pricing occupation-time options in a mixed-exponential jump-diffusion model

Djilali Ait Aoudia·Jean-François Renaud
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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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Djilali Ait Aoudia, Jean-François Renaud. 2016-03-30. Pricing occupation-time options in a mixed-exponential jump-diffusion model. https://arxiv.org/abs/1603.09329

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