Article history: Received 12 June 2012 Available online 13 February 2013 JEL classification: C70 C72

Article history: Received 9 October 2011 Available online 3 May 2013 JEL classification: C72 D71 D82

Article history: Received 9 January 2009 Available online 15 May 2010 JEL classification: C79 D82

Article history: Received 8 January 2008 Available online 13 June 2009 JEL classification: C72 D43 L13

Article history: Received 20 June 2011 Available online 28 November 2013 JEL classification: C78 D43 L13

Article history: Received 3 June 2011 Available online 17 October 2013 JEL classification: C73 D83 O32

Article history: Accepted 26 September 2010 JEL classification: O31 O33 O41

Problem statement: Hyperlipidemia is well known to play a main role in the development of atherosclerosis. It is characterized by abnormally elevated cholesterol, triglyceride, low density lipoprotein cholesterol and very low density lipoprotein cholesterol levels in the blood. It has been recognized for many years that hypercholesterolemia is a major risk factor for cardiovascular diseases suc...

Article history: Received 18 September 2008 Received in revised form 11 February 2011 Accepted 21 February 2011 Available online 24 February 2011 JEL classification: C91 C92 PsycINFO classification: 3020 3900

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.