Occupation times of Levy processes

被引：0

作者：

Wu, Lan ^{[1
]}

Zhang, Xiao ^{[1
]}

机构：

[1] Peking Univ, Beijing, Peoples R China

来源：

INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING | 2021年 / 8卷 / 03期

关键词：

Occupation times; Levy processes; Laplace transform; JUMP-DIFFUSION-PROCESSES; 1ST PASSAGE TIMES; AMERICAN;

D O I：

10.1142/S2424786321420032

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we give a complete and succinct proof that an explicit formula for the occupation time holds for all Levy processes, which is important to the pricing problems of various occupation-time-related derivatives such as step options and corridor options. We construct a sequence of Levy processes converging to a given Levy process to obtain our conclusion. Besides financial applications, the mathematical results about occupation times of a Levy process are of interest in applied probability.

引用

页数：10

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