Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications

DOI10.1016/J.CAM.2015.08.015zbMATH Open1339.60106OpenAlexW2215963623MaRDI QIDQ893122FDOQ893122

Authors: Jerim Kim, Bara Kim, In-Suk Wee 

Publication date: 13 November 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.08.015

Recommendations

• On the First Passage Time Under Regime-Switching with Jumps
• Efficient computation of first passage times in Kou's jump-diffusion model
• On the default probability in a regime-switching regulated market
• First-passage times of regime switching models
• First passage times of a jump diffusion process

zbMATH Keywords

Laplace transformiterative algorithmregime-switchingfirst passage timejump-diffusion modeldefaultable bond pricing

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Numerical methods (including Monte Carlo methods) (91G60) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80)

Cites Work

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Cited In (7)

• Efficient computation of first passage times in Kou's jump-diffusion model
• FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS
• On the First Passage Time Under Regime-Switching with Jumps
• On barrier option pricing by Erlangization in a regime-switching model with jumps
• Pricing external barrier options in a regime-switching model
• An improved algorithm for the estimation of the mean first passage time of ordinary stochastic differential equations
• On the default probability in a regime-switching regulated market

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