Distribution of occupation times for constant elasticity of variance diffusion and the pricing of α-quantile options

The main results of this paper are the derivation of the distribution functions of occupation times under the constant elasticity of variance process. The distribution functions can then be used to price α-quantile options. We also derive the fixed-floating symmetry relation for α-quantile options when the underlying asset price process follows a geometric Brownian motion.

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Year of publication:	2007
Authors:	Leung, Kwai Sun ; Kwok, Yue Kuen
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 7.2007, 1, p. 87-94
Publisher:	Taylor & Francis Journals
Subject:	Derivatives securities \| Derivatives pricing \| Methodology of pricing derivatives \| Options pricing

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005639931