Explicit solutions for the exit problem for a class of lévy processes. Applications to the pricing of double barrier options (2010).

Content Provider	CiteSeerX
Author	Fourati, Sonia
Abstract	Abstract. Lewis and Mordecki have computed the Wiener-Hopf factorization of a Lévy process whose restriction on]0,+∞ [ of their Lévy measure has a rational Laplace transform. That allows to compute the distribution of (Xt, inf 0≤s≤t Xs). For the same class of Lévy processes, we compute the distribution
File Format	PDF
Publisher Date	2010-01-01
Access Restriction	Open
Subject Keyword	Explicit Solution Exit Problem Application Pricing Double Barrier Option Class Vy Process Vy Process Wiener-hopf Factorization Vy Measure Rational Laplace Transform
Content Type	Text
Resource Type	Article