On some functionals of the first passage times in jump models of stochastic volatility
DOI10.1080/07362994.2019.1657023zbMATH Open1427.60170OpenAlexW2965385107WikidataQ127243346 ScholiaQ127243346MaRDI QIDQ5206083FDOQ5206083
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
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stochastic volatilityboundary-value problemspartial integro-differential equationsgeneralized Laplace transformsfirst-exit timesnon-affine processesmean-reverting and diverting propertysolvable stochastic differential equationstwo-dimensional jump processes
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)
- 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
- On first passage times of sticky reflecting diffusion processes with double exponential jumps
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