Orateur
Dr
Hélène Guérin
(IRMAR)
Description
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.
Auteurs principaux
Dr
Hélène Guérin
(IRMAR)
Prof.
Jean-François Renaud
(UQÀM)
