Download Joint distribution of spectrally negative Lévy process and its

Advanced Methods in Mathematical Finance
Identiant de la présentation : 14
Type : non spécié
Joint distribution of spectrally negative Lévy process
and its occupation time, with step option pricing in
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mercredi 2 septembre 2015 11:40 (0:40)
Abstract content
We are interested in the joint distribution of a spectrally negative Lévy process and its occupation
time when both are sampled at a fixed time. The result is expressed in terms of scale functions of
the underlying process. This result can be used to price step options and the particular case of an
exponential spectrally negative Lévy jump-diffusion will be presented.
This is a joint work with J.F. Renaud.
Summary
Primary author(s) :
Presenter(s) :
Dr. GUÉRIN, Hélène (IRMAR); Prof. RENAUD, Jean-François (UQÀM)
Dr. GUÉRIN, Hélène (IRMAR)