Consider the American put and Russian option (Ann. Appl. Probab. 3 (1993) 603; Theory Probab. Appl. 39 (1994) 103; Ann. Appl. Probab. 3 (1993) 641) with the stock price modeled as an exponential Lévy process. We find an explicit expression for the price in the dense class of Lévy processes with...

In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of the same insurance company or an insurance and re-insurance company). Modeling the risk processes of the insurance...

The drawdown process Y of a completely asymmetric Lévy process X is equal to X reflected at its running supremum X¯: Y=X¯−X. In this paper we explicitly express in terms of the scale function and the Lévy measure of X the law of the sextuple of the first-passage time of Y over the level...

We obtain central limit theorems for additive functionals of stationary fields under integrability conditions on the higher-order spectral densities. The proofs are based on the Hölder–Young–Brascamp–Lieb inequality.

Billingsley developed a widely used method for proving weak convergence with respect to the sup-norm and J1-Skorohod topologies, once convergence of the finite-dimensional distributions has been established. Here we show that Billingsley's method works not only for J oscillations, but also for M...

This paper provides a general framework for pricing options with a constant barrier under spectrally one-sided exponential Lévy model, and uses it to implement of Carr's approximation for the value of the American put under this model. Simple analytic approximations for the exercise boundary...