On some functionals of the first passage times in jump models of stochastic volatility

DOI10.1080/07362994.2019.1657023MaRDI QIDQ5206083zbMATH OpenOpenAlexWikidataFDO

Authors Pavel Gapeev, Yavor I. Stoev

Publication date 18 December 2019

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/101277/4/On_some_functionals_of_the_first_passage_times.pdf

zbMATH Keywords

stochastic volatilityboundary-value problemspartial integro-differential equationsgeneralized Laplace transformsfirst-exit timesnon-affine processesmean-reverting and diverting propertysolvable stochastic differential equationstwo-dimensional jump processes

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Diffusion processes (60J60) Brownian motion (60J65) Linear boundary value problems for ordinary differential equations (34B05) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(9)

• On first passage times of sticky reflecting diffusion processes with double exponential jumps
• FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• The first hitting time of stochastic volatility models
• On some functionals of the first passage times in models with switching stochastic volatility
• On the First Passage Time Under Regime-Switching with Jumps
• On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
• Problem of first passage time of a reflected stochastic volatility model
• Exotic derivatives under stochastic volatility models with jumps

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