| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1151387 | Statistics & Probability Letters | 2015 | 8 Pages |
Abstract
We provide a series representation for the cumulative distribution of the supremum of the spectrally negative stable process with drift. We also provide two approximation methods for small and large arguments of this function. Numerical examples are detailed and a financial application is also discussed.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Guillaume Coqueret,