The distribution of refracted Lévy processes with jumps having rational Laplace transforms (Q4684914): Difference between revisions

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+Some remarks on first passage of Lévy processes, the American put and pasting principles
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+Russian and American put options under exponential phase-type Lévy models.
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+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
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+STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES
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+On first passage times of a hyper-exponential jump diffusion process
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+Pricing double-barrier options under a flexible jump diffusion model
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+Pricing and hedging of variable annuities with state-dependent fees
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+Q5624436
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+Pricing maturity guarantee with dynamic withdrawal benefit
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+On the distribution of exponential functionals for Lévy processes with jumps of rational transform
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+Refracted Lévy processes
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+Occupation times of refracted Lévy processes
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+Pricing equity-indexed annuities with path-dependent options.
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+Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
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+Valuing variable annuity guarantees with the multivariate Esscher transform
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+On Maxima and Ladder Processes for a Dense Class of Lévy Process
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+On the time spent in the red by a refracted L\'evy risk process
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+Theory of stochastic differential equations with jumps and applications.
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+Occupation times of refracted double exponential jump diffusion processes
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+The time of deducting fees for variable annuities under the state-dependent fee structure
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+Valuing equity-linked death benefits with a threshold expense strategy
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