Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model. Issue 1 (2nd January 2016) - Ait Aoudia, Djilali
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.