Article ID Journal Published Year Pages File Type
10527395 Stochastic Processes and their Applications 2014 28 Pages PDF
Abstract
In this paper, we identify Laplace transforms of occupation times of intervals until first passage times for spectrally negative Lévy processes. New analytical identities for scale functions are derived and therefore the results are explicitly stated in terms of the scale functions of the process. Applications to option pricing and insurance risk models are also presented.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
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