On the supremum of the spectrally negative stable process with drift

Guillaume Coqueret ()
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Guillaume Coqueret: Université de Lille

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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: Spectrally negative stable process; Running supremum; Series representation (search for similar items in EconPapers)
Date: 2015-12-01
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Citations: View citations in EconPapers (1)

Published in Statistics and Probability Letters, 2015, 107, 333-340 p. ⟨10.1016/j.spl.2015.09.012⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02312226

DOI: 10.1016/j.spl.2015.09.012

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