On first passage times of a hyper-exponential jump diffusion process

DOI10.1016/J.ORL.2009.01.002MaRDI QIDQ1015316zbMATH OpenOpenAlexFDO

Authors Ning Cai

Publication date 7 May 2009

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2009.01.002

zbMATH Keywords

first passage timesjump diffusionhyper-exponential distribution

Mathematics Subject Classification ID

Diffusion processes (60J60)

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Cites work

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• 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.
• Stochastic calculus for finance. II: Continuous-time models.

Cited in

(49)

• First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
• Exit problems for jump processes having double-sided jumps with rational Laplace transforms
• Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps
• The pricing of basket options: a weak convergence approach
• The distribution of refracted Lévy processes with jumps having rational Laplace transforms
• Transform analysis for Hawkes processes with applications in dark pool trading
• Valuation of stock loans with jump risk
• Some explicit results on first exit times for a jump diffusion process involving semimartingale local time
• Mean first passage times of two-dimensional processes with jumps
• Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk
• First-passage times of regime switching models
• Escape probabilities from an interval for compound Poisson processes with drift
• Valuing equity-linked annuities under high-water mark fee structure
• Adaptation to climate change: extreme events versus gradual changes
• Occupation times of refracted double exponential jump diffusion processes
• Intra‐Horizon expected shortfall and risk structure in models with jumps
• Pricing occupation-time options in a mixed-exponential jump-diffusion model
• Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps
• Occupation times of general Lévy processes
• The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier
• On the first-passage times of pure jump processes
• On first passage times of sticky reflecting diffusion processes with double exponential jumps
• A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms
• Pricing turbo warrants under mixed-exponential jump diffusion model
• 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
• An improved test for continuous local martingales
• The time of deducting fees for variable annuities under the state-dependent fee structure
• Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
• International reserve management: a drift-switching reflected jump-diffusion model
• Pricing and hedging of lookback options in hyper-exponential jump diffusion models
• First passage times of a jump diffusion process
• The two-barrier escape problem for compound renewal processes with two-sided jumps
• The dependence of assets and default threshold with thinning-dependence structure
• On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
• Pricing and hedging of quantile options in a flexible jump diffusion model
• Optimal processing rate and buffer size of a jump-diffusion processing system
• Precautionary measures for credit risk management in jump models
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
• On a class of stochastic models with two-sided jumps
• Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
• A hyper-Erlang jump-diffusion process and applications in finance
• Decomposition of default probability under a structural credit risk model with jumps
• Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
• A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
• Pricing dynamic fund protections for a hyperexponential jump diffusion process
• On the First Passage Time Under Regime-Switching with Jumps
• Parisian options with jumps: a maturity-excursion randomization approach

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