Exit problems for spectrally negative Levy processes and applications to (Canadized) Russian options

A.E. Kyprianou, F. Avram, M.R. Pistorius

Research output: Contribution to journal › Article › Academic › peer-review

Original language	Undefined/Unknown
Pages (from-to)	215-238
Number of pages	24
Journal	The annals of applied probability
Volume	14
Issue number	1
Publication status	Published - 2004

Keywords

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title = "Exit problems for spectrally negative Levy processes and applications to (Canadized) Russian options",

keywords = "Wiskunde en Informatica (WIIN), Mathematics, Landbouwwetenschappen, Natuurwetenschappen, Wiskunde: algemeen",

author = "A.E. Kyprianou and F. Avram and M.R. Pistorius",

year = "2004",

language = "Undefined/Unknown",

volume = "14",

pages = "215--238",

journal = "The annals of applied probability",

issn = "1050-5164",

publisher = "Institute of Mathematical Statistics",

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}

TY - JOUR

T1 - Exit problems for spectrally negative Levy processes and applications to (Canadized) Russian options

AU - Kyprianou, A.E.

AU - Avram, F.

AU - Pistorius, M.R.

PY - 2004

Y1 - 2004

KW - Wiskunde en Informatica (WIIN)

KW - Mathematics

KW - Landbouwwetenschappen

KW - Natuurwetenschappen

KW - Wiskunde: algemeen

M3 - Article

SN - 1050-5164

VL - 14

SP - 215

EP - 238

JO - The annals of applied probability

JF - The annals of applied probability

IS - 1

ER -