Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options

Annals of Applied Probability

Volumn 14, Issue 1, 2004, Pages 215-238

  Avram, F ^a   Kyprianou, A E ^b   Pistorius, M R ^b,c  

^a UNIVERSITÉ DE PAU ET DES PAYS DE L'ADOUR   (France)

^b UTRECHT UNIVERSITY   (Netherlands)

^c KING'S COLLEGE LONDON   (United Kingdom)

Author keywords

American option; Canadized option; Exit problems; Optimal stopping; Reflected L vy processes; Russian option; Scale functions

Indexed keywords

EID: 4043110188     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/aoap/1075828052     Document Type: Article

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