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Occupation times of Lévy processes

Author

Listed:
  • Lan Wu

    (Peking University, Beijing, P. R. China)

  • Xiao Zhang

    (Peking University, Beijing, P. R. China)

Abstract

In this paper, we give a complete and succinct proof that an explicit formula for the occupation time holds for all Lévy processes, which is important to the pricing problems of various occupation-time-related derivatives such as step options and corridor options. We construct a sequence of Lévy processes converging to a given Lévy process to obtain our conclusion. Besides financial applications, the mathematical results about occupation times of a Lévy process are of interest in applied probability.

Suggested Citation

  • Lan Wu & Xiao Zhang, 2021. "Occupation times of Lévy processes," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-10, September.
    • Handle: RePEc:wsi:ijfexx:v:08:y:2021:i:03:n:s2424786321420032
    DOI: 10.1142/S2424786321420032
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