Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model. Issue 1 (2nd January 2016)
- Record Type:
- Journal Article
- Title:
- Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model. Issue 1 (2nd January 2016)
- Main Title:
- Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model
- Authors:
- Ait Aoudia, Djilali
Renaud, Jean-François - Abstract:
- 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.
- Is Part Of:
- Applied mathematical finance. Volume 23:Issue 1(2016)
- Journal:
- Applied mathematical finance
- Issue:
- Volume 23:Issue 1(2016)
- Issue Display:
- Volume 23, Issue 1 (2016)
- Year:
- 2016
- Volume:
- 23
- Issue:
- 1
- Issue Sort Value:
- 2016-0023-0001-0000
- Page Start:
- 1
- Page End:
- 21
- Publication Date:
- 2016-01-02
- Subjects:
- Path-dependent options -- occupation times -- jump-diffusion -- mixed-exponential distribution
Business mathematics -- Periodicals
650.0151 - Journal URLs:
- http://www.tandfonline.com/ ↗
- DOI:
- 10.1080/1350486X.2016.1145066 ↗
- Languages:
- English
- ISSNs:
- 1350-486X
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 1573.705000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 495.xml