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

DOI10.1007/S11009-018-9685-5MaRDI QIDQ2176382zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

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

Cited in

(3)

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

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