Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance (Q659239): Difference between revisions

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Latest revision as of 22:12, 4 July 2024

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Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
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    Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance (English)
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    10 February 2012
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    discounted penalty function
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    Wiener-Hopf factorization
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    perturbed compound Poisson risk process
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    Laplace distribution
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    perpetual american put option
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    barrier option
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    optimal capital structure
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