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

DOI10.1007/S11424-015-3150-0zbMATH Open1350.60075OpenAlexW2314198244MaRDI QIDQ328100FDOQ328100

Authors: 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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial applications of other theories (91G80)

Cites Work

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

Cited In (6)

• Dyson type formula for pure jump Lévy processes with some applications to finance
• Point Processes and Jump Diffusions
• First-exit time and barrier strategy of a jump diffusion process with two-sided jumps
• Generalized hyperbolic diffusion processes with applications in finance
• Feynman-Kac for functional jump diffusions with an application to credit value adjustment
• On first passage times of a hyper-exponential jump diffusion process

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