On first passage times of a hyper-exponential jump diffusion process
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Cites work
- A jump-diffusion model for option pricing
- Financial Modelling with Jump Processes
- First passage times of a jump diffusion process
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Option pricing when underlying stock returns are discontinuous
- Pricing Asian options under a hyper-exponential jump diffusion model
- Russian and American put options under exponential phase-type Lévy models.
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Cited in
(52)- Pricing turbo warrants under mixed-exponential jump diffusion model
- A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms
- Occupation times of general Lévy processes
- Exit problems for jump processes having double-sided jumps with rational Laplace transforms
- The pricing of basket options: a weak convergence approach
- Decomposition of default probability under a structural credit risk model with jumps
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
- Valuation of stock loans with jump risk
- Adaptation to climate change: extreme events versus gradual changes
- Escape probabilities from an interval for compound Poisson processes with drift
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
- Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps
- First-passage times of regime switching models
- Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
- The time of deducting fees for variable annuities under the state-dependent fee structure
- The dependence of assets and default threshold with thinning-dependence structure
- The expected discounted penalty function in the generalized Erlang(n) risk model with two-sided jumps and a constant dividend barrier
- Some explicit results on first exit times for a jump diffusion process involving semimartingale local time
- Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps
- First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
- An improved test for continuous local martingales
- Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
- Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk
- Pricing and hedging of quantile options in a flexible jump diffusion model
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- A hyper-Erlang jump-diffusion process and applications in finance
- On the first-passage times of pure jump processes
- On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
- First passage times of a jump diffusion process
- Transform analysis for Hawkes processes with applications in dark pool trading
- On the First Passage Time Under Regime-Switching with Jumps
- Pricing and hedging of lookback options in hyper-exponential jump diffusion models
- Parisian options with jumps: a maturity-excursion randomization approach
- International reserve management: a drift-switching reflected jump-diffusion model
- Pricing dynamic fund protections for a hyperexponential jump diffusion process
- Pricing occupation-time options in a mixed-exponential jump-diffusion model
- The distribution of refracted Lévy processes with jumps having rational Laplace transforms
- Optimal processing rate and buffer size of a jump-diffusion processing system
- A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
- On first passage times of sticky reflecting diffusion processes with double exponential jumps
- Precautionary measures for credit risk management in jump models
- Mean first passage times of two-dimensional processes with jumps
- Intra‐Horizon expected shortfall and risk structure in models with jumps
- The two-barrier escape problem for compound renewal processes with two-sided jumps
- Valuing equity-linked annuities under high-water mark fee structure
- On a class of stochastic models with two-sided jumps
- Optimal inventory control with state-dependent jumps
- Dynamic pricing with surging demand
- Discounted densities of overshoot and undershoot for Lévy processes with applications in finance
- A note on first passage functionals for hyper-exponential jump-diffusion processes
- Occupation times of hyper-exponential jump diffusion processes with application to price step options
- Occupation times of refracted double exponential jump diffusion processes
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