Pages that link to "Item:Q1015316"
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The following pages link to On first passage times of a hyper-exponential jump diffusion process (Q1015316):
Displayed 42 items.
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) (← links)
- A hyper-Erlang jump-diffusion process and applications in finance (Q328100) (← links)
- On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps (Q432503) (← links)
- Optimal processing rate and buffer size of a jump-diffusion processing system (Q490164) (← links)
- On a class of stochastic models with two-sided jumps (Q660145) (← links)
- Occupation times of hyper-exponential jump diffusion processes with application to price step options (Q893129) (← links)
- Occupation times of refracted double exponential jump diffusion processes (Q900561) (← links)
- Pricing turbo warrants under mixed-exponential jump diffusion model (Q1619424) (← links)
- A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms (Q1669250) (← links)
- Occupation times of general Lévy processes (Q1692245) (← links)
- Exit problems for jump processes having double-sided jumps with rational Laplace transforms (Q1724885) (← links)
- The pricing of basket options: a weak convergence approach (Q1728166) (← links)
- Decomposition of default probability under a structural credit risk model with jumps (Q1936262) (← links)
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions (Q1944574) (← links)
- Valuation of stock loans with jump risk (Q1994400) (← links)
- Adaptation to climate change: extreme events versus gradual changes (Q2054843) (← links)
- Escape probabilities from an interval for compound Poisson processes with drift (Q2087071) (← links)
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing (Q2170289) (← links)
- Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps (Q2195953) (← links)
- First-passage times of regime switching models (Q2251701) (← links)
- Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps (Q2333191) (← links)
- The time of deducting fees for variable annuities under the state-dependent fee structure (Q2347103) (← links)
- The dependence of assets and default threshold with thinning-dependence structure (Q2358872) (← links)
- The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier (Q2657891) (← links)
- Some explicit results on first exit times for a jump diffusion process involving semimartingale local time (Q2664543) (← links)
- First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits (Q2673386) (← links)
- An Improved Test for Continuous Local Martingales (Q2792264) (← links)
- Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view (Q2806357) (← links)
- CREDIT MODELING UNDER JUMP DIFFUSIONS WITH EXPONENTIALLY DISTRIBUTED JUMPS — STABLE CALIBRATION, DYNAMICS AND GAP RISK (Q2842534) (← links)
- Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model (Q3094682) (← links)
- Transform analysis for Hawkes processes with applications in dark pool trading (Q4554422) (← links)
- Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models (Q4584999) (← links)
- Parisian options with jumps: a maturity–excursion randomization approach (Q4619530) (← links)
- INTERNATIONAL RESERVE MANAGEMENT: A DRIFT‐SWITCHING REFLECTED JUMP‐DIFFUSION MODEL (Q4635046) (← links)
- Pricing dynamic fund protections for a hyperexponential jump diffusion process (Q4638697) (← links)
- Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model (Q4682697) (← links)
- The distribution of refracted Lévy processes with jumps having rational Laplace transforms (Q4684914) (← links)
- A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes (Q4995066) (← links)
- On first passage times of sticky reflecting diffusion processes with double exponential jumps (Q5109497) (← links)
- Precautionary measures for credit risk management in jump models (Q5411898) (← links)
- Intra‐Horizon expected shortfall and risk structure in models with jumps (Q6054364) (← links)
- The two-barrier escape problem for compound renewal processes with two-sided jumps (Q6171136) (← links)