Occupation times of Lévy processes
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In this paper, we give a complete and succinct proof that an explicit formula for the occupation time holds for all Lévy processes, which is important to the pricing problems of various occupation-time-related derivatives such as step options and corridor options. We construct a sequence of Lévy processes converging to a given Lévy process to obtain our conclusion. Besides financial applications, the mathematical results about occupation times of a Lévy process are of interest in applied probability.
1993 ◽
Vol 132
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pp. 141-153
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2006 ◽
Vol 38
(03)
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pp. 768-791
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2015 ◽
Vol 47
(01)
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pp. 128-145
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1978 ◽
Vol 83
(1)
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pp. 83-90
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2003 ◽
Vol 06
(01)
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pp. 73-102
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2015 ◽
Vol 47
(1)
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pp. 128-145
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2012 ◽
Vol 12
(04)
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pp. 1250001
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