Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options

DOI10.1080/14697680600895021zbMath1278.91164OpenAlexW2056691836WikidataQ60148450 ScholiaQ60148450MaRDI QIDQ3439870

Kwai Sun Leung, Yue Kuen Kwok

Publication date: 18 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://repository.ust.hk/ir/bitstream/1783.1-2886/1/LeungKS_04_dis.pdf

zbMATH Keywords

derivatives pricingoptions pricingderivatives securities

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process ⋮ First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers ⋮ Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model ⋮ Turbo warrants under stochastic volatility ⋮ Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model ⋮ PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS

Cites Work

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• Distributions of occupation times of Brownian motion with drift
• The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
• A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
• On a generalization of the arc-sine law
• Step Options
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
• On a formula of Takács for Brownian motion with drift

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