Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options

DOI10.1080/14697680600895021MaRDI QIDQ3439870zbMATH OpenOpenAlexWikidataFDO

Authors Kwai Sun Leung, Yue Kuen Kwok

Publication date 18 May 2007

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://repository.ust.hk/ir/bitstream/1783.1-2886/1/LeungKS_04_dis.pdf

zbMATH Keywords

derivatives pricingderivatives securitiesoptions pricing

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
• Distributions of occupation times of Brownian motion with drift
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• On a formula of Takács for Brownian motion with drift
• On a generalization of the arc-sine law
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Step options.
• The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
• THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES

Cited in

(8)

• Pricing step options under the CEV and other solvable diffusion models
• Pricing and hedging of quantile options in a flexible jump diffusion model
• Turbo warrants under stochastic volatility
• A note on the α-quantile option
• Pricing occupation-time options in a mixed-exponential jump-diffusion model
• First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers
• Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process
• Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing

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