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

• Lan Wu ^[1] ; Jiang Zhou ^[1]
  1. [1] Peking University

     Peking University

     China

     
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 294, Nº 1 (1 March 2016), 2016, págs. 251-274
• Idioma: inglés
• DOI: 10.1016/j.cam.2015.09.001
• Enlaces
  • Texto completo
• Resumen

  • We are interested in occupation times of jump diffusion processes with hyper-exponentially distributed jump sizes. We develop a new approach to derive analytical formulas for the Laplace transform of the joint distribution of a hyper-exponential jump diffusion process and its occupation times. These formulas are then used to price step options.