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

Kwai Sun Leung and Yue Kuen Kwok

Quantitative Finance, 2007, vol. 7, issue 1, 87-94

Abstract: The main results of this paper are the derivation of the distribution functions of occupation times under the constant elasticity of variance process. The distribution functions can then be used to price α-quantile options. We also derive the fixed-floating symmetry relation for α-quantile options when the underlying asset price process follows a geometric Brownian motion.

Keywords: Derivatives securities; Derivatives pricing; Methodology of pricing derivatives; Options pricing (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/14697680600895021

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