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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• 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
• Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
• From local volatility to local Lévy models
• Third-order extensions of Lo's semiparametric bound for European call options
• Fast and accurate pricing of barrier options under Lévy processes
• On the expectation of total discounted operating costs up to default and its applications
• On a class of stochastic models with two-sided jumps
• On a dual model with barrier strategy
• The time to ruin for a class of Markov additive risk process with two-sided jumps
• Some explicit identities associated with positive self-similar Markov processes
• First passage probabilities of one-dimensional diffusion processes
• Identification of the local speed function in a Lévy model for option pricing
• Intra‐Horizon expected shortfall and risk structure in models with jumps
• Valuing credit default swap under a double exponential jump diffusion model
• Ratchet consumption over finite and infinite planning horizons
• First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications
• On a multi-dimensional risk model with regime switching
• Investment and financing for SMEs with a partial guarantee and jump risk
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
• A hyper-Erlang jump-diffusion process and applications in finance
• On the conditional default probability in a regulated market with jump risk
• Precautionary measures for credit risk management in jump models
• Technological advances and the decision to invest
• First passage time for multivariate jump-diffusion processes in finance and other areas of applications
• On the First Passage time for Brownian Motion Subordinated by a Lévy Process
• An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
• Optimal consumption choice with intolerance for declining standard of living
• Exotic options under Lévy models: an overview
• Pricing double-barrier options under a flexible jump diffusion model
• On first passage times of a hyper-exponential jump diffusion process
• On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
• Numerical method for a Markov-modulated risk model with two-sided jumps
• Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs
• A renewal model with duration in a grade for manpower planning
• Valuation of continuously monitored double barrier options and related securities
• The \(\beta\)-Meixner model
• Optimal processing rate and buffer size of a jump-diffusion processing system
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• Irreversible investment in oligopoly
• Liquidation risk in insurance under contemporary regulatory frameworks
• Pricing catastrophe swaps: a contingent claims approach
• Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
• Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
• MaxVaR with non-Gaussian distributed returns
• On optimality of the barrier strategy for a general Lévy risk process
• Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
• A generalized penalty function in the Sparre Andersen risk model with two-sided jumps
• Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
• Valuing credit derivatives in a jump-diffusion model
• On the first-passage area of a one-dimensional jump-diffusion process
• On the time to ruin and the deficit at ruin in a risk model with double-sided jumps
• Valuation of stock loans with jump risk
• A Direct Approach to the Discounted Penalty Function
• First passage time law for some Lévy processes with compound Poisson: existence of a density
• Simulating risk measures via asymptotic expansions for relative errors
• The ruin problem for a Wiener process with state-dependent jumps
• Randomization and the valuation of guaranteed minimum death benefits
• Comparison of jump-diffusion parameters using passage times estimation
• On some functionals of the first passage times in models with switching stochastic volatility
• Evaluation and default time for companies with uncertain cash flows
• Risk-based premium evaluation with jump diffusion process for PBGC
• Monte Carlo method for pricing lookback type options in Lévy models
• Pricing airbag option via first passage time approach
• Optimal Stopping for Exponential Lévy Models with Weighted Discounting
• First-passage duality
• An approximate formula for the first-crossing-time density of a Wiener process perturbed by random jumps
• Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
• First-exit time and barrier strategy of a jump diffusion process with two-sided jumps
• Exact calculation of the mean first-passage time of continuous-time random walks by nonhomogeneous Wiener–Hopf integral equations
• The dependence of assets and default threshold with thinning-dependence structure
• Joint distribution of a Lévy process and its running supremum
• Regime classification and stock loan valuation
• Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral
• On some functionals of the first passage times in jump models of stochastic volatility
• Markov additive friendships
• Some explicit results on first exit times for a jump diffusion process involving semimartingale local time
• A structural jump threshold framework for credit risk
• Efficient evaluation of double-barrier options
• Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy

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