Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
From MaRDI portal
Publication:659239
DOI10.1016/j.insmatheco.2009.12.004zbMath1231.91162MaRDI QIDQ659239
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.12.004
Wiener-Hopf factorization; Laplace distribution; barrier option; discounted penalty function; perturbed compound Poisson risk process; optimal capital structure; perpetual american put option
91G20: Derivative securities (option pricing, hedging, etc.)
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