Exit problems for spectrally negative Levy processes and applications to (canadized) Russian options

• 成果类型: Article
• 署名作者: Avram, F; Kyprianou, AE; Pistorius, MR
• 署名单位: Universite de Pau et des Pays de l'Adour; Utrecht University; University of London; King's College London
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2004
• 页码: 215-238
• 关键词: finite interval; continuous-time; stable process

摘要

We consider spectrally negative Levy process and determine the joint Laplace transform of the exit time and exit position from an interval containing the origin of the process reflected in its supremum. In the literature of fluid models, this stopping time can be identified as the time to buffer-overflow. The Laplace transform is determined in terms of the scale functions that appear in the two-sided exit problem of the given Levy process. The obtained results together with existing results on two sided exit problems are applied to solving optimal stopping problems associated with the pricing of Russian options and their Canadized versions.