Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries

DOI10.1007/S11009-018-9685-5zbMATH Open1437.60050OpenAlexW2899942261WikidataQ128997462 ScholiaQ128997462MaRDI QIDQ2176382FDOQ2176382

Authors: Tung-Lung Wu 

Publication date: 4 May 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-018-9685-5

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zbMATH Keywords

Brownian motionfirst passage timecompound Poisson processesjump diffusion processesboundary crossing probabilityfinite Markov chain imbedding

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Brownian motion (60J65)

Cites Work

• The pricing of options and corporate liabilities
• A jump-diffusion model for option pricing
• Financial Modelling with Jump Processes
• Efficient computation of first passage times in Kou's jump-diffusion model
• Option pricing when underlying stock returns are discontinuous
• Russian and American put options under exponential phase-type Lévy models.
• Pricing Asian options for jump diffusion
• On the first hitting time of a one-dimensional diffusion and a compound Poisson process
• First passage times of a jump diffusion process
• Linear and nonlinear boundary crossing probabilities for Brownian motion and related processes

Cited In (3)

• On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
• Bottom crossing probability for symmetric jump processes
• Crossing probabilities for diffusion processes with piecewise continuous boundaries

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