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

2016/03/30 by Djilali Ait Aoudia, Aoudia, Djilali Ait, Jean-François Renaud +2
Economics, Econometrics and Finance · Mathematics · #Capital Investment and Risk Analysis #FOS: Economics and business #FOS: Mathematics #Mathematical Biology Tumor Growth #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications #math.PR #q-fin.MF

paper · pdf · doi:10.48550/arxiv.1603.09329

arxiv created 2016/03/30 · openalex publication_date 2016/03/30 · arxiv updated 2016/03/31 · openalex created_date 2022/10/01 · openalex updated_date 2026/07/28

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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