A hyper-Erlang jump-diffusion process and applications in finance (Q328100): Difference between revisions

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+https://doi.org/10.1007/s11424-015-3150-0
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+W2314198244
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+Option pricing when underlying stock returns are discontinuous
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+First passage times of a jump diffusion process
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+Risk theory for the compound Poisson process that is perturbed by diffusion
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+On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
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+Lévy risk model with two-sided jumps and a barrier dividend strategy
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+Russian and American put options under exponential phase-type Lévy models.
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+On the distribution of exponential functionals for Lévy processes with jumps of rational transform
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+The perturbed compound Poisson risk model with two-sided jumps
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+On first passage times of a hyper-exponential jump diffusion process
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+Exit problems for jump processes with applications to dividend problems
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+On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
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