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On the supremum of the spectrally negative stable process with drift
Journal article   Peer reviewed

On the supremum of the spectrally negative stable process with drift

Guillaume Coqueret
Statistics and Probability Letters, Vol.107, pp.333-340
12/2015

Abstract

Spectrally negative stable process Running supremum Series representation
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.
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