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Efficient evaluation of expectations of functions of a stable Lévy process and its extremum
Svetlana Boyarchenko, Sergei Levendorskiĭ · 2022-09-26 · via math.PR updates on arXiv.org

Integral representations for expectations of functions of a stable Lévy 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 cpdfs are developed. The most efficient numerical methods use the conformal acceleration technique and simplified trapezoid rule.

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