103 citations · 372 across the 37 of their papers we have counts for
3 papers · 1 filter
A Wiener--Hopf Monte Carlo simulation technique for Lévy processes
A. Kuznetsov, A. E. Kyprianou, J. C. Pardo +1
We develop a completely new and straightforward method for simulating the joint law of the position and running maximum at a fixed time of a general Lévy process with a view to app…
Explicit identities for Lévy processes associated to symmetric stable processes
M. E. Caballero, J. C. Pardo, J. L. Perez
In this paper we introduce a new class of Lévy processes which we call hypergeometric-stable Lévy processes, because they are obtained from symmetric stable processes through sever…
The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process
E. J. Baurdoux, A. E. Kyprianou, J. C. Pardo
In Gapeev and Kühn (2005), the stochastic game corresponding to perpetual convertible bonds was considered when driven by a Brownian motion and a compound Poisson process with expo…