THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
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Publication:3523521
DOI10.1142/S021902499900011XzbMath1153.91513MaRDI QIDQ3523521
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Related Items (16)
On the sojourn time of a generalized Brownian meander ⋮ On Parisian option pricing for uncertain currency model ⋮ Parisian exchange options ⋮ On the distribution of cumulative Parisian ruin ⋮ Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process ⋮ How the sojourn time distributions of Brownian motion are affected by different forms of conditioning. ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ Employee stock option valuation with repricing features ⋮ Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model ⋮ Optimal investment strategy to minimize occupation time ⋮ Default risk, bankruptcy procedures and the market value of life insurance liabilities ⋮ Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view ⋮ Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model ⋮ PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS ⋮ Feynman-Kac Particle Integration with Geometric Interacting Jumps ⋮ Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options
Cites Work
- The Pricing of Options and Corporate Liabilities
- Martingales and arbitrage in multiperiod securities markets
- Mark Kac 1914--1984
- Some formulae for a new type of path-dependent option
- 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
- Brownian Excursions and Parisian Barrier Options
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The distribution of Brownian quantiles
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