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

DOI10.1016/J.CAM.2015.09.001MaRDI QIDQ893129zbMATH OpenOpenAlexFDO

Authors 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 transformoccupation timesjump diffusion processesstep options

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• Classes of probability density functions having Laplace transforms with negative zeros and poles
• Corridor options and arc-sine law.
• Exit problems for jump processes with applications to dividend problems
• Introductory lectures on fluctuations of Lévy processes with applications.
• Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
• Occupation times of spectrally negative Lévy processes with applications
• On a generalization of the arc-sine law
• On first passage times of a hyper-exponential jump diffusion process
• Pricing step options under the CEV and other solvable diffusion models
• Russian and American put options under exponential phase-type Lévy models.
• Some formulae for a new type of path-dependent option
• Step options.
• The Fourier-series method for inverting transforms of probability distributions
• The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
• Valuing equity-linked death benefits in jump diffusion models

Cited in

(13)

• \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes
• Pricing step options under the CEV and other solvable diffusion models
• Occupation times of general Lévy processes
• Parisian options with jumps: a maturity-excursion randomization approach
• Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
• Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
• Occupation times of refracted double exponential jump diffusion processes
• Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
• Pricing occupation-time options in a mixed-exponential jump-diffusion model
• 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?

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