Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance (Q659239)
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scientific article; zbMATH DE number 6004703
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| English | Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance |
scientific article; zbMATH DE number 6004703 |
Statements
Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance (English)
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10 February 2012
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discounted penalty function
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Wiener-Hopf factorization
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perturbed compound Poisson risk process
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Laplace distribution
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perpetual american put option
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barrier option
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optimal capital structure
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0.8435919284820557
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0.8309999108314514
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0.8161419630050659
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0.7941989898681641
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0.7917686104774475
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