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: Unnamed Author (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)

Related Items (15)

An occupation time related potential measure for diffusion processes ⋮ Fluctuations of Omega-killed spectrally negative Lévy processes ⋮ A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes ⋮ Weak approximation rates for integral functionals of Markov processes ⋮ Accuracy of discrete approximation for integral functionals of Markov processes ⋮ How long does the surplus stay close to its historical high? ⋮ On the distribution of cumulative Parisian ruin ⋮ Local times for spectrally negative Lévy processes ⋮ Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time ⋮ Occupation times of general Lévy processes ⋮ Bridging the first and last passage times for Lévy models ⋮ Occupation times of alternating renewal processes with Lévy applications ⋮ Sojourn times of Gaussian processes with trend ⋮ On occupation times in the red of Lévy risk models ⋮ Poissonian occupation times of spectrally negative Lévy processes with applications

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• On the time spent in the red by a refracted L\'evy risk process
• The Joint Laplace Transforms for Diffusion Occupation Times

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