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

Author

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  • Djilali Ait Aoudia
  • Jean-François Renaud

Abstract

In this short paper, in order to price occupation-time options, such as (double-barrier) step options and quantile options, we derive various joint distributions of a mixed-exponential jump-diffusion process and its occupation times of intervals.

Suggested Citation

  • Djilali Ait Aoudia & Jean-François Renaud, 2016. "Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(1), pages 1-21, March.
    • Handle: RePEc:taf:apmtfi:v:23:y:2016:i:1:p:1-21
    DOI: 10.1080/1350486X.2016.1145066
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    Cited by:

    1. Walter Farkas & Ludovic Mathys & Nikola Vasiljevi'c, 2020. "Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps," Papers 2002.04675, arXiv.org, revised Jan 2021.
    2. Koo, Eunho & Kim, Geonwoo, 2017. "Explicit formula for the valuation of catastrophe put option with exponential jump and default risk," Chaos, Solitons & Fractals, Elsevier, vol. 101(C), pages 1-7.

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