IDEAS home Printed from https://ideas.repec.org/a/wsi/ijfexx/v08y2021i03ns2424786321420032.html
   My bibliography  Save this article

Occupation times of Lévy processes

Author

Listed:
  • Lan Wu

    (Peking University, Beijing, P. R. China)

  • Xiao Zhang

    (Peking University, Beijing, P. R. China)

Abstract

In this paper, we give a complete and succinct proof that an explicit formula for the occupation time holds for all Lévy 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 Lévy processes converging to a given Lévy process to obtain our conclusion. Besides financial applications, the mathematical results about occupation times of a Lévy process are of interest in applied probability.

Suggested Citation

  • Lan Wu & Xiao Zhang, 2021. "Occupation times of Lévy processes," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-10, September.
  • Handle: RePEc:wsi:ijfexx:v:08:y:2021:i:03:n:s2424786321420032
    DOI: 10.1142/S2424786321420032
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S2424786321420032
    Download Restriction: Access to full text is restricted to subscribers

    File URL: https://libkey.io/10.1142/S2424786321420032?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijfexx:v:08:y:2021:i:03:n:s2424786321420032. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/worldscinet/ijfe .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.