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

Published Online:https://doi.org/10.1287/moor.1100.0447

References

  • Abate J., Whitt W. The Fourier-seriers method for inverting transforms of probability distributions. Queueing Systems (1992) 10(1):5–88CrossrefGoogle Scholar
  • Akahori J. Some formulae for a new type of path-dependent option. Ann. Appl. Probab. (1995) 5(2):383–388CrossrefGoogle Scholar
  • Atkinson C., Fusai G. Discrete extrema of the Brownian motion and pricing of lookback options. J. Computational Finance (2007) 10(3):1–43CrossrefGoogle Scholar
  • Cai N. Pricing quantile options in a flexible jump diffusion model. (2009) . Techincal report, Department of IELM, HKUST, Hong KongGoogle Scholar
  • Cai N., Kou S. G. Option pricing under a hyper-exponential jump diffusion model. (2008) . Technical report, HKUST and Columbia University, Hong Kong and New YorkGoogle Scholar
  • Chesney M., Jeanblanc-Picqué M., Yor M. Brownian excursions and Parisian barrier options. Adv. Appl. Probab. (1997) 29(1):165–184CrossrefGoogle Scholar
  • Choudhury G. L., Lucantoni D. M., Whitt W. Multidimensional transform inversion with applications to the transient m/g/1 queue. Ann. Appl. Probab (1994) 4(3):719–740CrossrefGoogle Scholar
  • Cohen J. W., Hooghiemstra G. Brownian excursion, the m/m/1 queue and their occupation times. Math. Oper. Res. (1981) 6(4):608–629LinkGoogle Scholar
  • Dassios A. The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options. Ann. Appl. Probab. (1995) 5(2):389–398CrossrefGoogle Scholar
  • Dassios A. Sample quantiles of stochastic processes with stationary and independent increments. Ann. Appl. Probab. (1996) 6(3):1041–1043CrossrefGoogle Scholar
  • Davydov A., Linetsky V. Structuring, pricing and hedging double-barrier step options. J. Computational Finance (2002) 5(2):55–87CrossrefGoogle Scholar
  • Embrechts P., Rogers L. C. G., Yor M. A proof of Dassios' representation of the α-quantile of Brownian motion with drift. Ann. Appl. Probab. (1995) 5(3):757–767CrossrefGoogle Scholar
  • Fusai G. Corridor options and arc-sine law. Ann. Appl. Probab (2000) 10(2):634–663CrossrefGoogle Scholar
  • Fusai G., Tagliani A. Pricing of occupation time derivatives: Continuous and discrete monitoring. J. Computational Finance (2001) 5(1):1–37CrossrefGoogle Scholar
  • Karatzas I., Shreve S.Brownian Motion and Stochastic Calculus (1991) (Springer-Verlag, New York) Google Scholar
  • Kou S. G. A jump-diffusion model for option pricing. Management Sci. (2002) 48(8):1086–1101LinkGoogle Scholar
  • Kou S. G., Wang H. First passage times of a jump diffusion processes. Adv. Appl. Probab. (2003) 35(2):504–531CrossrefGoogle Scholar
  • Kou S. G., Wang H. Option pricing under a double exponential jump diffusion model. Management Sci. (2004) 50:1178–1192LinkGoogle Scholar
  • Kwok Y. K., Lau K. W. Pricing algorithms for options with exotic path-dependence. J. Derivatives (2001) 9(1):23–38CrossrefGoogle Scholar
  • Leung K. S., Kwok Y. K. Distribution of occupation times for CEV diffusions and pricing of α-quantile options. Quant. Finance (2007) 7(1):87–94CrossrefGoogle Scholar
  • Linetsky V. Steps to the barrier. RISK (1998) April):62–65Google Scholar
  • Linetsky V. Step options. Math. Finance (1999) 9(1):55–96CrossrefGoogle Scholar
  • Lucas R. E. Asset prices in an exchange economy. Econometrica (1978) 46(6):1429–1445CrossrefGoogle Scholar
  • Miura R. A note on look-back options based on order statistics. Hitotsubashi J. Commerce Management (1992) 27(1):15–28Google Scholar
  • Naik V., Lee M. General equilibrium pricing of options on the market portfolio with discontinuous returns. Rev. Financial Stud. (1990) 3(4):493–521CrossrefGoogle Scholar
  • Petrella G. An extension of the Euler Laplace transform inversion algorithm with applications in option pricing. Oper. Res. Lett. (2004) 32(4):380–389CrossrefGoogle Scholar
  • Protter P.Stochastic Integration and Differntial Equations. A New Approach (2005) (Springer, Berlin) CrossrefGoogle Scholar
  • Whitt W.Stochastic-Process Limits: An Introduction to Stochastic-Process Limits and Their Applications to Queues (2002) (Springer-Verlag, New York) CrossrefGoogle Scholar
  • Yor M. The distribution of Brownian quantiles. J. Appl. Probab. (1995) 32(2):405–416CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.