Some Remarks on First Passage of Lévy Processes, the American Put and Pasting Principles by L. Alili
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چکیده
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Some Remarks on First Passage of Lévy Processes, the American Put and Pasting
The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and overshoot above/below a fixed level of a Lévy process and the solution of Gerber and Shiu (1994), Boyarchenko and Levendorskǐi (1998, 1999, 2002), Chan (2000), Avram et al. (2002), Mordecki (2002), Asmussen et al. (2004) and Chesn...
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