PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS

DOI10.1142/S0219024913500271zbMath1282.91323arXiv1302.3771MaRDI QIDQ2853376

Giuseppe Campolieti, R. N. Makarov, Karl Wouterloot

Publication date: 21 October 2013

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

Full work available at URL: https://arxiv.org/abs/1302.3771

zbMATH Keywords

option pricing; Green's functions; spectral expansion; Laplace transform inversion; step options; exponential stopping times; occupation time options; solvable diffusions

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60J60: Diffusion processes

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

Related Items

Occupation times of hyper-exponential jump diffusion processes with application to price step options, Geometric step options and Lévy models: duality, pides, and semi-analytical pricing, American step options, Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications, Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts

Cites Work

• Unnamed Item
• The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
• Sample quantiles of stochastic processes with stationary and independent ents
• Step Options
• Exact simulation of Bessel diffusions
• Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model
• Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
• Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options
• Path integral pricing of Asian options on state-dependent volatility models
• THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
• Brownian Excursions and Parisian Barrier Options
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• ON PROPERTIES OF ANALYTICALLY SOLVABLE FAMILIES OF LOCAL VOLATILITY DIFFUSION MODELS