First passage times of a jump diffusion process

DOI10.1239/AAP/1051201658zbMATH Open1037.60073OpenAlexW2110269823MaRDI QIDQ4449508FDOQ4449508

Authors: S. G. Kou, Hui Wang 

Publication date: 11 February 2004

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1051201658

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zbMATH Keywords

Laplace transformPoisson processrenewal theoryfirst passage timeindependent incrementsjump diffusion processdouble exponential distributionrunning maximaGaver-Stehfest algorithmLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Laplace transform (44A10) Continuous-time Markov processes on discrete state spaces (60J27)

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Cited In (only showing first 100 items - show all)

• Ruin and deficit under claim arrivals with the order statistics property
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• On the probability of default in a market with price clustering and jump risk
• A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model
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• An inverse problem for the first-passage place of some diffusion processes with random starting point
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• Pricing turbo warrants under mixed-exponential jump diffusion model
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• Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
• On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
• Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
• Moments of first-passage places for jump-diffusion processes
• The mean of Marshall-Olkin-dependent exponential random variables
• An improved test for continuous local martingales
• Valuing equity-linked death benefits with a threshold expense strategy
• Pricing dynamic fund protections with regime switching
• Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
• First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
• Structural pricing of CoCos and deposit insurance with regime switching and jumps
• Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes
• First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps
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• A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms
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• Introducing fuzziness in CDS pricing under a structural model
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• On the threshold dividend strategy for a generalized jump-diffusion risk model
• On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
• The perturbed compound Poisson risk model with two-sided jumps
• Efficient computation of first passage times in Kou's jump-diffusion model
• Cliquet-style return guarantees in a regime switching Lévy model
• Old and new examples of scale functions for spectrally negative Lévy processes
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• Lévy processes with finite variance conditioned to avoid an interval
• Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions
• First crossing times of telegraph processes with jumps
• First passage time moments of jump-diffusions with Markovian switching
• The intensity model for pricing credit securities with jump diffusion and counterparty risk
• MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
• The hitting time density for a reflected Brownian motion
• Pricing and hedging defaultable participating contracts with regime switching and jump risk
• Mean first passage times of two-dimensional processes with jumps
• Pricing discrete barrier options and credit default swaps under Lévy processes
• Applications of factorization embeddings for Lévy processes
• A structural jump-diffusion model for pricing collateralized debt obligations tranches
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• An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models

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