Occupation times of hyper-exponential jump diffusion processes with application to price step options
نویسندگان
چکیده
منابع مشابه
Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
In this paper, we provide Laplace transform-based analytical solutions to pricing problems of various occupation-time-related derivatives such as step options, corridor options, and quantile options under Kou’s double exponential jump diffusion model. These transforms can be inverted numerically via the Euler Laplace inversion algorithm, and the numerical results illustrate that our pricing met...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2016
ISSN: 0377-0427
DOI: 10.1016/j.cam.2015.09.001