Distribution of Occupation Times for Cev Diffusions and Pricing of Alpha-Quantile Options

18 Pages Posted: 3 Jan 2005

See all articles by Yue Kuen Kwok

Yue Kuen Kwok

Hong Kong University of Science & Technology - Department of Mathematics

Kwai Sun Leung

Hong Kong University of Science & Technology (HKUST)

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

Kwok, Yue Kuen and Leung, Kwai Sun, Distribution of Occupation Times for Cev Diffusions and Pricing of Alpha-Quantile Options (March 12, 2006). Available at SSRN: https://ssrn.com/abstract=638961 or http://dx.doi.org/10.2139/ssrn.638961

Yue Kuen Kwok (Contact Author)

Hong Kong University of Science & Technology - Department of Mathematics ( email )

Clearwater Bay
Kowloon, 999999
Hong Kong

Kwai Sun Leung

Hong Kong University of Science & Technology (HKUST) ( email )

Clearwater Bay
Kowloon, 999999
Hong Kong

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