Evaluating first-passage probabilities for spectrally one-sided Lévy processes

Abstract

Fast stable methods for inverting multidimensional Laplace transforms have been developed in recent years by Abate, Whitt and others. We use these methods here to compute numerically the first-passage-time distribution for a spectrally one-sided Lévy process; the basic algorithm is not easy to apply, and we have to develop a variant of it. The numerical performance is as good as the original algorithm.