THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
1999 ◽
Vol 02
(02)
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pp. 153-178
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Keyword(s):
In this paper, we undertake a study of occupation time derivatives that is derivatives for which the pay-off is contingent on both the terminal asset's price and one of its occupation times. To this end we use a formula of M. Kac to compute the joint law of Brownian motion and one of its occupation times. General pricing formulas for occupation time derivatives are established and it is shown that any occupation time derivative can be continuously hedged by a controlled portfolio of the basic securities. We further study some examples of interest including cumulative barrier options and discuss some numerical implementations.
2008 ◽
Vol 11
(01)
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pp. 53-71
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2017 ◽
Vol 54
(1)
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pp. 337-342
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Keyword(s):
Keyword(s):
Keyword(s):
2017 ◽
Vol 54
(2)
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pp. 444-461
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Keyword(s):
2012 ◽
Vol 49
(02)
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pp. 549-565
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Keyword(s):
2019 ◽
Vol 50
◽
pp. 101014
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2018 ◽
Vol 55
(4)
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pp. 1287-1308
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2015 ◽
Vol 47
(1)
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pp. 210-230
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