Search Results - subject:"occupation time derivatives"

Robust barrier option pricing by frame projection under exponential Lévy dynamics

Kirkby, J. Lars - In: Applied mathematical finance 24 (2017) 3/4, pp. 337-386

Persistent link: https://www.econbiz.de/10011815237

A New Prepayment Model (with Default): An Occupation-time Derivative Approach

Sharp, Nicholas; Johnson, Paul; Newton, David; Duck, Peter - In: The Journal of Real Estate Finance and Economics 39 (2009) 2, pp. 118-145

Persistent link: https://www.econbiz.de/10005005676

American Options: Symmetry Properties

Detemple, Jérôme B. - Centre Interuniversitaire de Recherche en Analyse des … - 1999

barrier options and capped options, (ii) multiasset derivatives, (iii) occupation time derivatives and (iv) claims whose …

Persistent link: https://www.econbiz.de/10005100907

Multi-asset barrier options and occupation time derivatives

Wong, Hoi Ying; Kwok, Yue-Kuen - In: Applied Mathematical Finance 10 (2003) 3, pp. 245-266

time derivatives with one state variable having the barrier feature. Based on the lognormal assumption of asset price …A general framework is formulated to price various forms of European style multi-asset barrier options and occupation …

Persistent link: https://www.econbiz.de/10005495415