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

DOI10.1007/s11009-018-9685-5zbMath1437.60050OpenAlexW2899942261WikidataQ128997462 ScholiaQ128997462MaRDI QIDQ2176382

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

finite Markov chain imbeddingBrownian motionfirst passage timejump diffusion processescompound Poisson processesboundary crossing probability

Mathematics Subject Classification ID

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

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• On the first hitting time of a one-dimensional diffusion and a compound Poisson process
• Efficient computation of first passage times in Kou's jump-diffusion model
• Russian and American put options under exponential phase-type Lévy models.
• Linear and Nonlinear Boundary Crossing Probabilities for Brownian Motion and Related Processes
• PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
• First passage times of a jump diffusion process
• Financial Modelling with Jump Processes
• Option pricing when underlying stock returns are discontinuous

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