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Laplace transforms and suprema of stochastic processes

Author

Listed:
  • Schürger, Klaus

Abstract

It is shown that moments of negative order as well as positive non- integral order of a nonnegative random variable X can be expressed by the Laplace transform of X. Applying these results of certain first passage times gives explicit formulae for moments of suprema of Bessel processes as well as strictly stable Levy processes having no positive jumps.

Suggested Citation

  • Schürger, Klaus, 2002. "Laplace transforms and suprema of stochastic processes," Bonn Econ Discussion Papers 10/2002, University of Bonn, Bonn Graduate School of Economics (BGSE).
    • Handle: RePEc:zbw:bonedp:102002
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    File URL: https://www.econstor.eu/bitstream/10419/22839/1/bgse10_2002.pdf
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    Cited by:

    1. Leunglung Chan & Eckhard Platen, 2010. "Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model," Papers 1007.2968, arXiv.org, revised Jan 2011.

    More about this item

    Keywords

    Laplace transform; Bessel process; Lévy process;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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