Pricing dynamic fund protections for a hyperexponential jump diffusion process

DOI10.1080/03610926.2017.1301475MaRDI QIDQ4638697zbMATH OpenOpenAlexFDO

Authors Zhuo Jin, Wei Wang, Lyu Chen, Linyi Qian

Publication date 27 April 2018

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2017.1301475

zbMATH Keywords

dynamic fund protectionhyperexponential distributionGaver-Stehfest algorithm

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A jump-diffusion model for option pricing
• Dynamic Fund Protection
• Exit problems for jump processes with applications to dividend problems
• First passage times of a jump diffusion process
• From ruin theory to pricing reset guarantees and perpetual put options
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• On first passage times of a hyper-exponential jump diffusion process
• Pricing Asian options under a hyper-exponential jump diffusion model
• Pricing Discrete Dynamic Fund Protections
• Pricing Dynamic Investment Fund Protection
• Pricing Perpetual Fund Protection with Withdrawal Option
• Pricing Perpetual Options for Jump Processes
• Pricing double-barrier options under a flexible jump diffusion model
• Reset and withdrawal rights in dynamic fund protection
• Valuation of discrete dynamic fund protection under Lévy processes
• Valuing equity-linked death benefits in a regime-switching framework
• Valuing equity-linked death benefits in jump diffusion models

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(10)

• Locally risk-minimizing hedging for European contingent claims written on non-tradable assets with common jump risk
• Pricing and hedging for correlation options with regime switching and common jump risk
• Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
• Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier
• Pricing dynamic fund protections with regime switching
• Pricing dynamic guaranteed funds under the hyper-exponential jump-diffusion model
• Valuation of discrete dynamic fund protection under Lévy processes
• Pricing Dynamic Investment Fund Protection
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• scientific article; zbMATH DE number 7234612 (Why is no real title available?)

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