Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view (Q2806357)
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scientific article; zbMATH DE number 6581260
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| English | Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view |
scientific article; zbMATH DE number 6581260 |
Statements
Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view (English)
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17 May 2016
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spectrally negative Lévy process
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occupation time
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fluctuation theory
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scale function
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step option pricing
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Lévy jump-diffusion model
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0.813798725605011
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0.8128474354743958
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0.8069983124732971
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0.7951329350471497
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