Showing 1 - 8 of 8
Motivated by the recent results of Nualart and Xu (2013) concerning limits laws for occupation times of one dimensional symmetric stable processes, this paper proves a decomposition for functionals of one dimensional symmetric Lévy processes under certain conditions on the characteristic...
Persistent link: https://www.econbiz.de/10011194145
For prices of options with barrier and lookback features, defaultable bonds and credit default swaps (CDSs), and probability distribution functions in Lévy models, as well as for joint probability distributions of a Lévy process and its supremum or/and infimum, one can derive explicit...
Persistent link: https://www.econbiz.de/10011011293
Persistent link: https://www.econbiz.de/10005061361
Persistent link: https://www.econbiz.de/10010437194
Persistent link: https://www.econbiz.de/10011520483
Persistent link: https://www.econbiz.de/10011800392
Persistent link: https://www.econbiz.de/10012157552
Persistent link: https://www.econbiz.de/10015130552