Iseger, Peter; Gruntjes, Paul; Mandjes, Michel - In: Computational Statistics 78 (2013) 1, pp. 101-118
This paper focuses on numerical evaluation techniques related to fluctuation theory for Lévy processes; they can be applied in various domains, e.g., in finance in the pricing of so-called barrier options. More specifically, with $$\bar{X}_t:= \sup _{0\le s\le t} X_s$$ denoting the running...