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

被引：7
|
作者：
Leung, Kwai Sun [1 ]
Kwok, Yue Kuen [1 ]
机构：
[1] Hong Kong Univ Sci & Technol, Dept Math, Hong Kong, Hong Kong, Peoples R China
来源：
QUANTITATIVE FINANCE | 2007年 / 7卷 / 01期
关键词：
derivatives securities; derivatives pricing; methodology of pricing derivatives; options pricing;
D O I：
10.1080/14697680600895021
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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 alpha-quantile options. We also derive the fixed-floating symmetry relation for alpha-quantile options when the underlying asset price process follows a geometric Brownian motion.
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页码：87 / 94
页数：8
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