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

DOI10.1214/ECP.V18-2017zbMATH Open1307.60112MaRDI QIDQ742961FDOQ742961

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)

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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)

Cited In (6)

• The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
• A hyper-Erlang jump-diffusion process and applications in finance
• A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms
• On first passage times of a hyper-exponential jump diffusion process
• Pricing occupation-time options in a mixed-exponential jump-diffusion model
• Occupation time of Lévy processes with jumps rational Laplace transforms

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