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Explicit solutions for the exit problem for a class of Lévy processes. Applications to the pricing of double barrier options
Explicit solutions for the exit problem class Lévy processes Applications pricing double barrier options
2010/10/19
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute ...
Explicit solutions for the exit problem for a class of Lévy processes. Applications to the pricing of double barrier options
Explicit solutions exit problem Lévy processes
2010/4/27
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute t...
Two-sided exit problem for a Spectrally Negative α-Stable Ornstein-Uhlenbeck Process and the Wright's generalized hypergeometric functions
Ornstein-Uhlenbeck Process deduce generalized hypergeometric functions
2009/3/27
The Laplace transform of the first exit time from a finite interval by a regular spectrally negative α-stable Ornstein-Uhlenbeck process is provided in terms of the Wright's generalized hypergeometric...
Two-sided exit problem for a Spectrally Negative α-Stable Ornstein-Uhlenbeck Process and the Wright's generalized hypergeometric functions
Laplace transform Spectrally Negative hypergeometric functions
2009/3/23
The Laplace transform of the first exit time from a finite interval by a regular spectrally negative α-stable Ornstein-Uhlenbeck process is provided in terms of the Wright's generalized hypergeometric...