How long does the surplus stay close to its historical high?
From MaRDI portal
Publication:5086633
DOI10.1080/17442508.2020.1744603zbMath1500.60048arXiv1806.03201OpenAlexW3013962240MaRDI QIDQ5086633
Publication date: 6 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.03201
Processes with independent increments; Lévy processes (60G51) Probabilistic potential theory (60J45)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On pre-exit joint occupation times for spectrally negative Lévy processes
- On the distribution of exponential functionals for Lévy processes with jumps of rational transform
- Smoothness of scale functions for spectrally negative Lévy processes
- Occupation times of spectrally negative Lévy processes with applications
- Occupation times of hyper-exponential jump diffusion processes with application to price step options
- Fluctuations of Omega-killed spectrally negative Lévy processes
- On weighted occupation times for refracted spectrally negative Lévy processes
- Occupation time of Lévy processes with jumps rational Laplace transforms
- Local times for spectrally negative Lévy processes
- Fluctuations of Lévy processes with applications. Introductory lectures
- Occupation times of intervals until first passage times for spectrally negative Lévy processes
- Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
- Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
- Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
- Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model
- Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
This page was built for publication: How long does the surplus stay close to its historical high?
