A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes

DOI10.1287/ijoc.2020.0980OpenAlexW3035830614MaRDI QIDQ4995066

Ning Cai, Xuewei Yang

Publication date: 23 June 2021

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.2020.0980

zbMATH Keywords

first passage timesmartingale methodstransition densityordinary integro-differential equationsreflecting barrierhyperexponential distributionsreflected jump diffusion processes

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Related Items (1)

Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Approximating Lévy processes with completely monotone jumps
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
• Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
• A generalized impulse control model of cash management
• On first passage times of a hyper-exponential jump diffusion process
• Drift control of international reserves
• The Fourier-series method for inverting transforms of probability distributions
• Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
• On the maximum workload of a queue fed by fractional Brownian motion.
• Euler scheme for reflected stochastic differential equations
• The hitting time density for a reflected Brownian motion
• Valuing equity-linked death benefits in jump diffusion models
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• On the optimal dividend problem for a spectrally negative Lévy process
• Implementing models in quantitative finance: methods and cases
• Gaussian elimination is not optimal
• Russian and American put options under exponential phase-type Lévy models.
• Stochastic simulation: Algorithms and analysis
• On the conditional default probability in a regulated market: a structural approach
• Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
• A Unified Framework for Numerically Inverting Laplace Transforms
• Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model
• Efficiency-Driven Heavy-Traffic Approximations for Many-Server Queues with Abandonments
• Some integral functionals of reflected SDEs and their applications in finance
• A Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and its Applications in Financial Engineering
• A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
• Transient behavior of regulated Brownian motion, I: Starting at the origin
• Transient behavior of regulated Brownian motion, II: Non-zero initial conditions
• On the Laguerre Method for Numerically Inverting Laplace Transforms
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• INTERNATIONAL RESERVE MANAGEMENT: A DRIFT‐SWITCHING REFLECTED JUMP‐DIFFUSION MODEL
• A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications
• Simulation-Based Computation of the Workload Correlation Function in a Lévy-Driven Queue
• On the conditional default probability in a regulated market with jump risk
• On the transition densities for reflected diffusions
• Optimal Dividends
• Credit risk: Modelling, valuation and hedging
• Dynamic value at risk under optimal and suboptimal portfolio policies.

This page was built for publication: A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes