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Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
Abstract We study the distribution E x [exp(- q ∫ 0 t 1 ( a , b ) ( X s )d s ); X t ∈ d y ], where -∞ ≤ a < b < ∞, and where q , t > 0 and x ∈ R for …