Occupation times of hyper-exponential jump diffusion processes with application to price step options

DOI10.1016/j.cam.2015.09.001zbMath1333.60177OpenAlexW1417636312MaRDI QIDQ893129

N. E. Zubov

Publication date: 13 November 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.09.001

zbMATH Keywords

Laplace transformjump diffusion processesoccupation timesstep options

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial applications of other theories (91G80)

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Geometric step options and Lévy models: duality, pides, and semi-analytical pricing, How long does the surplus stay close to its historical high?, Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications, Occupation times of general Lévy processes, Parisian options with jumps: a maturity–excursion randomization approach, \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes, Occupation time of Lévy processes with jumps rational Laplace transforms, American step options

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