Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model

Djilali Ait Aoudia and Jean-François Renaud

Applied Mathematical Finance, 2016, vol. 23, issue 1, 1-21

Abstract: In this short paper, in order to price occupation-time options, such as (double-barrier) step options and quantile options, we derive various joint distributions of a mixed-exponential jump-diffusion process and its occupation times of intervals.

Date: 2016
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DOI: 10.1080/1350486X.2016.1145066

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