A note on first passage functionals for hyper-exponential jump-diffusion processes

DOI10.1214/ECP.V18-2017MaRDI QIDQ742961zbMATH OpenFDO

Authors Yu-Ting Chen, Yuan-Chung Sheu, Ming-Chi Chang

Publication date 22 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

zbMATH Keywords

first passage functionalhyper-exponential jump-diffusion processtwo-sided exit problem

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial applications of other theories (91G80)

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• A hyper-Erlang jump-diffusion process and applications in finance

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