A hyper-Erlang jump-diffusion process and applications in finance
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Publication:328100
DOI10.1007/s11424-015-3150-0zbMath1350.60075OpenAlexW2314198244MaRDI QIDQ328100
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
barrier strategyfirst-passage timehyper-Erlang distributionreflected jump-diffusion processRussian option
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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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