Occupation times of refracted double exponential jump diffusion processes

DOI10.1016/J.SPL.2015.07.023zbMATH Open1397.60111OpenAlexW980324465MaRDI QIDQ900561FDOQ900561

Authors: N. E. Zubov 

Publication date: 22 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.07.023

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• Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
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• Diffusion occupation time before exiting
• Occupation time of Lévy processes with jumps rational Laplace transforms

zbMATH Keywords

Laplace transformoccupation timestwo-sided exit problemrefracted Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60)

Cites Work

• First passage times of a jump diffusion process
• On first passage times of a hyper-exponential jump diffusion process
• Occupation times of refracted Lévy processes
• On the time spent in the red by a refracted Lévy risk process
• Pricing double-barrier options under a flexible jump diffusion model
• Refracted Lévy processes
• The time of deducting fees for variable annuities under the state-dependent fee structure

Cited In (8)

• First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
• Occupation times of hyper-exponential jump diffusion processes with application to price step options
• Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
• On weighted occupation times for refracted spectrally negative Lévy processes
• Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications
• The distribution of refracted Lévy processes with jumps having rational Laplace transforms
• Occupation time of Lévy processes with jumps rational Laplace transforms
• On first passage times of sticky reflecting diffusion processes with double exponential jumps

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