Some remarks on first passage of Lévy processes, the American put and pasting principles

Some remarks on first passage of Lévy processes, the American put and pasting principles

Cached

Download Links

[arxiv.org]

by L. Alili , A. E. Kyprianou

Venue:	Annals of Appl. Probability
Citations:	18 - 2 self

BibTeX

@ARTICLE{Alili_someremarks,
    author = {L. Alili and A. E. Kyprianou},
    title = {Some remarks on first passage of Lévy processes, the American put and pasting principles},
    journal = {Annals of Appl. Probability},
    year = {}
}

Years of Citing Articles

Bookmark

OpenURL

Abstract

The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and overshoot above/below a fixed level of a Lévy process and the solution of Gerber and Shiu [Astin

Citations

436	Lévy processes and infinitely divisible distributions. Cambridge Univ Pr - Sato - 1999
282	Lévy Processes - Bertoin - 1996
161	Financial Modelling with Jump Processes - Cont, Tankov - 2003
63	Optimal Stopping Rules - Shiryaev - 1978
55	2000) Ruin Probabilities - Asmussen
39	Lévy processes in finance: pricing financial derivatives - Schoutens
29	Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval - Bertoin - 1997
24	Optimal Stopping and Free-Boundary Problems - Peskir, Shiryaev - 2006
23	Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options - Avram, Kyprianou, et al. - 2006
21	Russian and American put options under exponential phase-type Lévy models. Stochastic Process - Asmussen, F, et al. - 2004
18	Fluctuation identities for Lévy processes and splitting at the maximum - Greenwood, Pitman - 1980
16	Perpetual American options under Lévy processes - Boyarchenko, Levendorskiĭ - 2002
14	Pricing American options under variance gamma - Hirsa, Madan
14	Optimal stopping and perpetual options for Lévy processes - Mordecki
14	Solving the Poisson Disorder Problem - Peskir, Shiryaev - 2002
13	Martingale approach to pricing perpetual American options on two stocks - Gerber, Shiu - 1996
11	Wavelet Galerkin pricing of American options on Lévy driven assets - Matache, Nitsche, et al.
9	On American options under the Variance Gamma process - Almendral, Oosterlee - 2007
9	M.: Optimal stopping for partial sums - Darling, Liggett, et al. - 1972
7	Sequential Testing Problems for Poisson Processes - Peskir, Shiryaev - 2000
6	Numerical valuation of American options under the CGMY process - Almendral - 2005
6	On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr’s approximation for American puts. Stochastic Processes and their Applications - Avram, Chan, et al. - 2002
5	Regularity of the half-line for Lévy processes - Bertoin - 1997
5	The distribution of the maximum of the Lévy process with positive jumps of phase-type - Mordecki - 2002
4	Some applications of Lévy processes in insurance and finance - Chan - 2004
4	Perpetual options and Canadization through fluctuation theory - Kyprianou, Pistorius - 2002
3	Pricing American currency options in an exponential Lévy - Chesney, Jeanblanc - 2004
3	Optimal stopping for a diffusion with jumps - Mordecki - 1999
3	Electronic foreign-exchange markets and passage events of independent subordinators - Winkel - 2005
2	Problems of the sequential discrimination of hypotheses for a compound Poisson process with exponential jumps - Gapeev - 2002
1	Models of investment under uncertaintly when shocks are non-Gaussian. Working paper series EERC, 98/02, EERC/Eurasia Foundation Moscow - Boyarchenko, Levendorskiǐ - 1998
1	Pricing of a perpetual American put for truncated Lévy processes. Unpublished manuscript - Boyarchenko, Levendorskiǐ - 1999
1	American options: The EPV pricing model. Preprint. Available at http://ssrn.com/abstract=547863 - Boyarchenko, Levendorskiǐ - 2004
1	American options driven spectrally by one sided Lévy processes. Unpublished manuscript. [See also (2005) Exotic Option Pricing and Advanced Lévy Models - Chan - 2000
1	Lévy processes in finance distinguished by their course and fine path properties - Kyprianou, Loeffen - 2005
1	On the joint distribution of rnadom variables associated with fluctuations of a process with independent increments. Theory Probab - Percheskii, Rogozin - 1969