Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options (Q765888)

Consider a Lévy process whose Lévy measure (restricted to the positive half-line) has a rational Laplace transform, i.e., is a linear combination of Gamma distributions. For this class of Lévy processes, \textit{A. L. Lewis} and \textit{E. Mordecki} [J. Appl. Probab. 45, No. 1, 118--134 (2008; Zbl 1136.60330)] have computed the Wiener-Hopf factorization, which in turn allowed them to determine the joint distribution of the process itself and its running infimum. In the present study, the author extends this analysis by computing the joint distribution of the process, its running infimum, and its running supremum, and also describing the behavior of this triplet at certain stopping times. As an application, the pricing of double barrier options with and without rebate is considered.