The Fourier-series method for inverting transforms of probability distributions
Queueing Systems: Theory and Applications - Numerical computations in queues
A Jump-Diffusion Model for Option Pricing
Management Science
Option Pricing Under a Double Exponential Jump Diffusion Model
Management Science
An extension of the Euler Laplace transform inversion algorithm with applications in option pricing
Operations Research Letters
Option Pricing Under a Mixed-Exponential Jump Diffusion Model
Management Science
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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 options under Kou's double exponential jump diffusion model. These transforms can be inverted numerically via the Euler Laplace inversion algorithm, and the numerical results illustrate that our pricing methods are accurate and efficient. The analytical solutions can be obtained primarily because we derive the closed-form Laplace transform of the joint distribution of the occupation time and the terminal value of the double exponential jump diffusion process. Beyond financial applications, the mathematical results about occupation times of a jump diffusion process are of more general interest in applied probability.