Pricing occupation-time options in a mixed-exponential jump-diffusion model

Djilali Ait Aoudia and Jean-Fran\c{c}ois Renaud

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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: 2016-03
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