PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS

DOI10.1142/S0219024913500271zbMath1282.91323arXiv1302.3771MaRDI QIDQ2853376

Giuseppe Campolieti, R. N. Makarov, Karl Wouterloot

Publication date: 21 October 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.3771

zbMATH Keywords

option pricingGreen's functionsspectral expansionLaplace transform inversionstep optionsexponential stopping timesoccupation time optionssolvable diffusions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications ⋮ Occupation times of hyper-exponential jump diffusion processes with application to price step options ⋮ Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts ⋮ American step options

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