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

DOI10.1016/j.spa.2011.09.008zbMath1239.60033arXiv1003.4917OpenAlexW2017696974MaRDI QIDQ765888

Sonia Fourati

Publication date: 22 March 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.4917

zbMATH Keywords

Lévy processesWiener-Hopf factorizationfluctuation theoryexit problemsBargmann equationsdouble barrier options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80)

Related Items (6)

Lévy Processes, Phase-Type Distributions, and Martingales ⋮ On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps ⋮ A note on Wiener-Hopf factorization for Markov additive processes ⋮ First-passage times of regime switching models ⋮ A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options ⋮ Approximating Lévy processes with completely monotone jumps

Cites Work

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• Some explicit identities associated with positive self-similar Markov processes
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• Fluctuations of Lévy processes and scattering theory
• The two-sided exit problem for spectrally positive Lévy processes
• The Inverse Problem in the Quantum Theory of Scattering
• The Distribution of the First Hit for Stable and Asymptotically Stable Walks on an Interval
• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
• On the distribution of the time of the first exit from an interval and the value of a jump over the boundary for processes with independent increments and random walks

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