8 citations · 17 across the 5 of their papers we have counts for
5 papers · 1 filter
Optimally stopping at a given distance from the ultimate supremum of a spectrally negative Lévy process
Mónica B. Carvajal Pinto, Kees van Schaik
We consider the optimal prediction problem of stopping a spectrally negative Lévy process as close as possible to a given distance from its ultimate supremum, under a sq…
A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
Florian Kleinert, Kees van Schaik
We introduce an algorithm for the pricing of finite expiry American options driven by Lévy processes. The idea is to tweak Carr's `Canadisation' method, cf. Carr [9] (see also Bouc…
Predicting the time at which a Lévy process attains its ultimate supremum
Erik Baurdoux, Kees van Schaik
We consider the problem of finding a stopping time that minimises the -distance to , the time at which a Lévy process attains its ultimate supremum. This problem was studie…
On the density of exponential functionals of Lévy processes
Juan Carlos Pardo, Victor Rivero, Kees van Schaik
In this paper, we study the existence of the density associated to the exponential functional of the Lévy process , \[ I_{\ee_q}:=\int_0^{\ee_q} e^{ξ_s} \, \mathrm{d}s, \] where…
Asymptotic Distributions of the Overshoot and Undershoots for the Lévy Insurance Risk Process in the Cramér and Convolution Equivalent Cases
Philip S Griffin, Ross A Maller, Kees van Schaik
Recent models of the insurance risk process use a Lévy process to generalise the traditional Cramér-Lundberg compound Poisson model. This paper is concerned with the behaviour of t…