Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model

DOI10.1080/1350486X.2016.1145066zbMath1396.91713arXiv1603.09329OpenAlexW2327236544MaRDI QIDQ4682697

Djilali Ait Aoudia, Jean-François Renaud

Publication date: 19 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.09329

zbMATH Keywords

path-dependent optionsjump-diffusionoccupation timesmixed-exponential distribution

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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