Some remarks on first passage of Levy processes, the American put and pasting principles

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dc.creatorAlili, L.
dc.creatorKyprianou, A. E.
dc.date2005-08-25
dc.date.accessioned2026-07-07T12:07:16Z
dc.date.available2026-07-07T12:07:16Z
dc.descriptionThe purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and overshoot above/below a fixed level of a Levy process and the solution of Gerber and Shiu [Astin Bull. 24 (1994) 195-220], Boyarchenko and Levendorskii [Working paper series EERS 98/02 (1998), Unpublished manuscript (1999), SIAM J. Control Optim. 40 (2002) 1663-1696], Chan [Original unpublished manuscript (2000)], Avram, Chan and Usabel [Stochastic Process. Appl. 100 (2002) 75-107], Mordecki [Finance Stoch. 6 (2002) 473-493], Asmussen, Avram and Pistorius [Stochastic Process. Appl. 109 (2004) 79-111] and Chesney and Jeanblanc [Appl. Math. Fin. 11 (2004) 207-225] to the American perpetual put optimal stopping problem. Furthermore, we make folklore precise and give necessary and sufficient conditions for smooth pasting to occur in the considered problem.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051605000000377 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0508487
dc.identifierhttp://arxiv.org/abs/math/0508487
dc.identifierAnnals of Applied Probability 2005, Vol. 15, No. 3, 2062-2080
dc.identifierdoi:10.1214/105051605000000377
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208910
dc.subjectProbability
dc.subjectPricing of Securities
dc.subject60G40 (Primary) 60J75, 91B70, 60G51 (Secondary)
dc.titleSome remarks on first passage of Levy processes, the American put and pasting principles
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