Universités de Paris 6 & Paris 7 - CNRS ( UMR 7599 ) PRÉPUBLICATIONS DU LABORATOIRE DE PROBABILITÉS & MODÈLES ALÉATOIRES
نویسنده
چکیده
In this paper, we use probabilistic methods of excursion theory for Lévy processes in order to value some exotic options in general exponential Lévy models. AMS 2000 Subject Classification : Primary: 60G51, 91B28, 91B70. JEL Classification: C13.
منابع مشابه
Universités de Paris 6 & Paris 7 - CNRS ( UMR 7599 ) PRÉPUBLICATIONS DU LABORATOIRE DE PROBABILITÉS & MODÈLES ALÉATOIRES
Given a sequence of random polynomials, we show that, under some very general conditions, the roots tend to cluster near the unit circle, and their angles are uniformly distributed. In particular, we do not assume independence or equidistribution of the coefficients of the polynomial. We apply this result to various problems in both random and deterministic sequences of polyno-mials, including ...
متن کاملHomogeneous fragmentation processes
The purpose of this work is to define and study homogeneous fragmentation processes in continuous time, which are meant to describe the evolution of an object that breaks down randomly into pieces as time passes. Roughly, we show that the dynamics of such a fragmentation process are determined by some exchangeable measure on the set of partitions of �, and result from the combination of two dif...
متن کاملFinite-Time and -Size Scalings in the Evaluation of Large Deviation Functions: Numerical Approach in Continuous Time
Esteban Guevara Hidalgo, 2, ∗ Takahiro Nemoto, 3 and Vivien Lecomte 4 Institut Jacques Monod, CNRS UMR 7592, Université Paris Diderot, Sorbonne Paris Cité, F-750205, Paris, France Laboratoire de Probabilités et Modèles Aléatoires, Sorbonne Paris Cité, UMR 7599 CNRS, Université Paris Diderot, 75013 Paris, France Philippe Meyer Institute for Theoretical Physics, Physics Department, École Normale ...
متن کاملUniversités de Paris 6 & Paris 7 - CNRS ( UMR 7599 ) PRÉPUBLICATIONS DU LABORATOIRE
In this paper, we give under mild integrability assumptions an analytical characterization of the law of the height of the generic excursion for a Lévy process X reflected at its maximum. We also give (yet) another proof of a description of Itô’s excursion measure of the reflected process away from 0. AMS 2000 Subject Classification : Primary: 60G51,60J75.
متن کاملCurrent fluctuations in systems with diffusive dynamics, in and out of equilibrium
Vivien Lecomte1,2,, Alberto Imparato3, and Frédéric van Wijland4, 1Département de Physique de la Matière Condensée, Université de Genève, 24 quai Ernest Ansermet, 1211 Genève 4, Switzerland 2Laboratoire de Probabilités et Modèles Aléatoires (CNRS UMR 7599), Université Paris Diderot – Paris 7, 2 place Jussieu, 75251 Paris cedex 05, France 3Department of Physics and Astronomy, University of Aarhu...
متن کامل