A hyper-Erlang jump-diffusion process and applications in finance

DOI10.1007/s11424-015-3150-0zbMath1350.60075OpenAlexW2314198244MaRDI QIDQ328100

Yinghui Dong, Min Han

Publication date: 20 October 2016

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-015-3150-0

zbMATH Keywords

barrier strategyfirst-passage timehyper-Erlang distributionreflected jump-diffusion processRussian option

Mathematics Subject Classification ID

Cites Work

• On the distribution of exponential functionals for Lévy processes with jumps of rational transform
• Risk theory for the compound Poisson process that is perturbed by diffusion
• On first passage times of a hyper-exponential jump diffusion process
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• Exit problems for jump processes with applications to dividend problems
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• Russian and American put options under exponential phase-type Lévy models.
• The perturbed compound Poisson risk model with two-sided jumps
• First passage times of a jump diffusion process
• Option pricing when underlying stock returns are discontinuous

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