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math.PR2022
Efficient evaluation of expectations of functions of a stable Lévy process and its extremum
Svetlana Boyarchenko, Sergei Levendorskiĭ
Integral representations for expectations of functions of a stable Lévy process and its supremum are derived. As examples, cumulative probability distribution function…
math.PR2022
Lévy models amenable to efficient calculations
Svetlana Boyarchenko, Sergei Levendorskiĭ
In our previous publications (IJTAF 2019, Math. Finance 2020), we introduced a general class of SINH-regular processes and demonstrated that efficient numerical methods for the eva…
math.PR2022
Efficient evaluation of expectations of functions of a Lévy process and its extremum
Svetlana Boyarchenko, Sergei Levendorskiĭ
We prove simple general formulas for expectations of functions of a Lévy process and its running extremum. Under additional conditions, we derive analytical formulas using the Four…