Efficient Evaluation of Expectations of Functions of a Stable Levy Process and Its Extremum
Efficient Evaluation of Expectations of Functions of a Stable Levy Process and Its Extremum
Integral representations for expectations of functions of a stable L\'evy process $X$ and its supremum $\bar X$ are derived. As examples, cumulative probability distribution functions (cpdf) of $X_T, \barX_T$, the joint cpdf of $X_T$ and $\barX_T$, and the expectation of $(\be X_T-\barX_T)_+$, $\be>1$, are considered, and efficient numerical procedures for …