Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4638118 | Journal of Computational and Applied Mathematics | 2016 | 24 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Lan Wu, Jiang Zhou,