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Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model |
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| Authors: | Djilali Ait Aoudia Jean-François Renaud |
| Institution: | 1. UQAM, Montréal, Québec, Canadarenaud.jf@uqam.ca;3. UQAM, Montréal, Québec, Canada |
| 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. |
| Keywords: | Path-dependent options occupation times jump-diffusion mixed-exponential distribution |