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)

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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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• The total return swap pricing model under fuzzy random environments
• 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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• The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
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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
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
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• Statistical arbitrage in jump-diffusion models with compound Poisson processes
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• Simulating risk measures via asymptotic expansions for relative errors
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• 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
• Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps
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• Asymptotic results for certain first-passage times and areas of renewal processes
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• 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

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