Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
2016 ◽
Vol 48
(1)
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pp. 274-297
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Keyword(s):
Abstract We study the distribution Ex[exp(-q∫0t1(a,b)(Xs)ds); Xt ∈ dy], where -∞ ≤ a < b < ∞, and where q, t > 0 and x ∈ R for a spectrally negative Lévy process X. More precisely, we identify the Laplace transform with respect to t of this measure in terms of the scale functions of the underlying process. Our results are then used to price step options and the particular case of an exponential spectrally negative Lévy jump-diffusion model is discussed.
2009 ◽
Vol 46
(02)
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pp. 542-558
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2011 ◽
Vol 48
(1)
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pp. 200-216
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2004 ◽
Vol 41
(04)
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pp. 1191-1198
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Keyword(s):
2009 ◽
Vol 46
(2)
◽
pp. 542-558
◽
2004 ◽
Vol 41
(4)
◽
pp. 1191-1198
◽
Keyword(s):