Pricing Step Options under the CEV and other Solvable Diffusion Models
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- Vadim Linetsky, 1999. "Step Options," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 55-96.
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- Roman N. Makarov, 2016. "Modeling liquidation risk with occupation times," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-11, December.
- Zhou, Jiang & Wu, Lan & Bai, Yang, 2017. "Occupation times of Lévy-driven Ornstein–Uhlenbeck processes with two-sided exponential jumps and applications," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 80-90.
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