A hyper-Erlang jump-diffusion process and applications in finance (Q328100)
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scientific article; zbMATH DE number 6641276
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| English | A hyper-Erlang jump-diffusion process and applications in finance |
scientific article; zbMATH DE number 6641276 |
Statements
A hyper-Erlang jump-diffusion process and applications in finance (English)
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20 October 2016
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reflected jump-diffusion process
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hyper-Erlang distribution
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barrier strategy
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first-passage time
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Russian option
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0.8026989102363586
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0.8000618815422058
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0.7979995608329773
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0.7972972989082336
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