THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES

DOI10.1142/S021902499900011XzbMath1153.91513MaRDI QIDQ3523521

Julien Hugonnier

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

occupation times; path dependent options; hedge ratio; Feynman--Kac formula, Laplace transform

Mathematics Subject Classification ID

60J65: Brownian motion

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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