Occupation times of hyper-exponential jump diffusion processes with application to price step options

DOI10.1016/J.CAM.2015.09.001zbMath1333.60177OpenAlexW1417636312MaRDI QIDQ893129

N. E. Zubov

Publication date: 13 November 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.09.001

zbMATH Keywords

Laplace transformjump diffusion processesoccupation timesstep options

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial applications of other theories (91G80)

Related Items (8)

Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ How long does the surplus stay close to its historical high? ⋮ Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications ⋮ Occupation times of general Lévy processes ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes ⋮ Occupation time of Lévy processes with jumps rational Laplace transforms ⋮ American step options

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