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

DOI10.1007/S11424-015-3150-0zbMATH1350.60075OpenAlexW2314198244MaRDI 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

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)

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Cites work

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

Cited in

(10)

• First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
• The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
• First-exit time and barrier strategy of a jump diffusion process with two-sided jumps
• Point Processes and Jump Diffusions
• On first passage times of a hyper-exponential jump diffusion process
• A note on first passage functionals for hyper-exponential jump-diffusion processes
• Occupation times of hyper-exponential jump diffusion processes with application to price step options
• Generalized hyperbolic diffusion processes with applications in finance
• Feynman-Kac for functional jump diffusions with an application to credit value adjustment
• Dyson type formula for pure jump Lévy processes with some applications to finance

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