Distribution of Occupation Times for Cev Diffusions and Pricing of Alpha-Quantile Options
18 Pages Posted: 3 Jan 2005
Date Written: March 12, 2006
Abstract
The main results of this paper are the derivation of the distribution functions of occupation times under the constant elasticity of variance (CEV) process. The distribution functions can then be used to price the alpha-quantile options. We also derive fixed-floating symmetry relation for alpha-quantile options when the underlying asset price process follows the Geometric Brownian motion.
Keywords: occupation times, CEV process, alpha-quantile options, fixed-floating symmetry
JEL Classification: G13
Suggested Citation: Suggested Citation
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