Occupation times of hyper-exponential jump diffusion processes with application to price step options
From MaRDI portal
Publication:893129
DOI10.1016/J.CAM.2015.09.001zbMATH Open1333.60177OpenAlexW1417636312MaRDI QIDQ893129FDOQ893129
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
Cites Work
- Introductory lectures on fluctuations of Lévy processes with applications.
- Title not available (Why is that?)
- Russian and American put options under exponential phase-type Lévy models.
- Occupation times of intervals until first passage times for spectrally negative Lévy processes
- Occupation times of spectrally negative Lévy processes with applications
- Step options.
- Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
- Valuing equity-linked death benefits in jump diffusion models
- The Fourier-series method for inverting transforms of probability distributions
- Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform
- On first passage times of a hyper-exponential jump diffusion process
- The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
- Exit problems for jump processes with applications to dividend problems
- Some formulae for a new type of path-dependent option
- On a generalization of the arc-sine law
- Corridor options and arc-sine law.
- Pricing step options under the CEV and other solvable diffusion models
- Classes of probability density functions having Laplace transforms with negative zeros and poles
Cited In (9)
- Pricing step options under the CEV and other solvable diffusion models
- \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes
- Occupation times of general Lévy processes
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
- Parisian options with jumps: a maturity–excursion randomization approach
- American step options
- Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications
- Occupation time of Lévy processes with jumps rational Laplace transforms
- How long does the surplus stay close to its historical high?
This page was built for publication: Occupation times of hyper-exponential jump diffusion processes with application to price step options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q893129)
