Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model

Intra‐Horizon expected shortfall and risk structure in models with jumps

“…Second, (semi-)analytical results for diffusion and jump contributions to maturity-randomized first-passage probabilities are derived under the class of hyper-exponential jump-diffusion processes by relying on option pricing methods (cf. among others Cai, 2009;Cai et al, 2009;Cai & Kou, 2012;Chuancun et al, 2013;Hofer & Mayer, 2013;Aoudia & Renaud, 2016;Leippold & Vasiljević, 2017. On the practical side, we introduce a simple and efficient ansatz to compute the intra-horizon risk inherent to popular Lévy dynamics.…”