1-4 September 2015
Angers - France
Europe/Paris timezone

Joint distribution of spectrally negative Lévy process and its occupation time, with step option pricing in view

2 Sep 2015, 11:40
40m
Angers - France

Angers - France

Speaker

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.

Primary authors

Presentation Materials