Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model-Reference-Cited by-同舟云学术

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Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model

Published:2016-01-02 Issue:1 Volume:23 Page:1-21
ISSN:1350-486X
Container-title:Applied Mathematical Finance
language:en
Short-container-title:Applied Mathematical Finance

Author:

Ait Aoudia Djilali,Renaud Jean-François

Funder

Fonds de recherche du Québec – Nature et technologies (FRQNT)

Institut de finance mathématique de Montréal (IFM2)

Publisher

Informa UK Limited

Subject

Applied Mathematics,Finance

Link

http://www.tandfonline.com/doi/pdf/10.1080/1350486X.2016.1145066

Reference17 articles.

1. Sufficient Conditions for a Mixture of Exponentials to be a Probability Density Function

2. On first passage times of a hyper-exponential jump diffusion process

3. Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options

4. Option Pricing Under a Mixed-Exponential Jump Diffusion Model

5. Option valuation using the fast Fourier transform

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Intra‐Horizon expected shortfall and risk structure in models with jumps;Mathematical Finance;2021-03-21

2. How long does the surplus stay close to its historical high?;Stochastics;2020-03-27

3. Parisian options with jumps: a maturity–excursion randomization approach;Quantitative Finance;2018-04-25

4. Explicit formula for the valuation of catastrophe put option with exponential jump and default risk;Chaos, Solitons & Fractals;2017-08

5. Parisian Options with Jumps: A MaturityyExcursion Randomization Approach;SSRN Electronic Journal;2017

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