Pricing dynamic fund protections for a hyperexponential jump diffusion process
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Publication:4638697
DOI10.1080/03610926.2017.1301475zbMATH Open1386.91148OpenAlexW2594410067MaRDI QIDQ4638697FDOQ4638697
Lyu Chen, Linyi Qian, Zhuo Jin, Wei Wang
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
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Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- A Jump-Diffusion Model for Option Pricing
- Pricing Asian options under a hyper-exponential jump diffusion model
- Valuing equity-linked death benefits in jump diffusion models
- VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
- First passage times of a jump diffusion process
- On first passage times of a hyper-exponential jump diffusion process
- Exit problems for jump processes with applications to dividend problems
- Pricing double-barrier options under a flexible jump diffusion model
- Lookback options and dynamic fund protection under multiscale stochastic volatility
- Pricing Perpetual Options for Jump Processes
- Pricing Perpetual Fund Protection with Withdrawal Option
- From ruin theory to pricing reset guarantees and perpetual put options
- Pricing Dynamic Investment Fund Protection
- Dynamic Fund Protection
- Reset and withdrawal rights in dynamic fund protection
- Valuation of Discrete Dynamic Fund Protection Under Lévy Processes
- Pricing Discrete Dynamic Fund Protections
Cited In (8)
- 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 guaranteed funds under the hyper-exponential jump-diffusion model
- LOCALLY RISK-MINIMIZING HEDGING FOR EUROPEAN CONTINGENT CLAIMS WRITTEN ON NON-TRADABLE ASSETS WITH COMMON JUMP RISK
- Pricing Dynamic Investment Fund Protection
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