Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view

DOI10.1017/apr.2015.17zbMath1337.60090arXiv1406.3130OpenAlexW1505293895MaRDI QIDQ2806357

Hélène Guérin, Jean-François Renaud

Publication date: 17 May 2016

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.3130

zbMATH Keywords

occupation timescale functionfluctuation theoryspectrally negative Lévy processLévy jump-diffusion modelstep option pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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