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

Lan Wu, Jiang Zhou

• 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.