Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
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DOI：
10.5555/1836121.1836130
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发表时间：
2010-05
影响因子：
1.7
通讯作者：
CaiNing;ChenNan;WanXiangwei
中科院分区：
文献类型：
--
作者：
CaiNing;ChenNan;WanXiangwei
在本文中，我们提供了基于拉普拉斯变换的解析解的各种占用时间相关的衍生工具，如步骤选项，走廊选项，和分位数选项的定价问题。
In this paper, we provide Laplace transform-based analytical solutions to pricing problems of various occupation-time-related derivatives such as step options, corridor options, and quantile option...