Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance (Q659239): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 09:52, 30 January 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance |
scientific article |
Statements
Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance (English)
0 references
10 February 2012
0 references
discounted penalty function
0 references
Wiener-Hopf factorization
0 references
perturbed compound Poisson risk process
0 references
Laplace distribution
0 references
perpetual american put option
0 references
barrier option
0 references
optimal capital structure
0 references