Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view (Q2806357): Difference between revisions

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+Some formulae for a new type of path-dependent option
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+Q4888858
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+On first passage times of a hyper-exponential jump diffusion process
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+Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
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+THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
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+The Theory of Scale Functions for Spectrally Negative Lévy Processes
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+Occupation times of refracted Lévy processes
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+Sojourn time in an union of intervals for diffusions
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+Occupation times of spectrally negative Lévy processes with applications
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+An insurance risk model with Parisian implementation delays
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+The Joint Laplace Transforms for Diffusion Occupation Times
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+Step Options
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+Occupation times of intervals until first passage times for spectrally negative Lévy processes
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+On the time spent in the red by a refracted L\'evy risk process
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