Pages that link to "Item:Q1003346"
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The following pages link to On perpetual American put valuation and first-passage in a regime-switching model with jumps (Q1003346):
Displayed 47 items.
- Markov modulation of a two-sided reflected Brownian motion with application to fluid queues (Q424487) (← links)
- Occupation densities in solving exit problems for Markov additive processes and their reflections (Q444361) (← links)
- A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process'' (Q479189) (← links)
- Cliquet-style return guarantees in a regime switching Lévy model (Q506080) (← links)
- Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps (Q508104) (← links)
- Pricing and hedging defaultable participating contracts with regime switching and jump risk (Q777938) (← links)
- Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122) (← links)
- How do capital structure and economic regime affect fair prices of bank's equity and liabilities? (Q1615809) (← links)
- Pricing exotic options in a regime switching economy: a Fourier transform method (Q1621619) (← links)
- Pricing external barrier options in a regime-switching model (Q1657586) (← links)
- Optimal dividend distribution under Markov regime switching (Q1761453) (← links)
- The impact of negative interest rates on optimal capital injections (Q1799625) (← links)
- Threshold dividend strategies for a Markov-additive risk model (Q1936560) (← links)
- The maximum severity of ruin in a perturbed risk process with Markovian arrivals (Q1950740) (← links)
- Structural pricing of CoCos and deposit insurance with regime switching and jumps (Q2036863) (← links)
- SIR epidemics with stochastic infectious periods (Q2182633) (← links)
- First-passage times of regime switching models (Q2251701) (← links)
- On barrier option pricing by Erlangization in a regime-switching model with jumps (Q2297114) (← links)
- Optimal stopping with information constraint (Q2391931) (← links)
- Exponential change of measure for general piecewise deterministic Markov processes (Q2423855) (← links)
- Wiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility (Q2680397) (← links)
- PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL (Q2786031) (← links)
- Occupation Times for Markov-Modulated Brownian Motion (Q2897162) (← links)
- Lévy Processes, Phase-Type Distributions, and Martingales (Q2937469) (← links)
- A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (Q3064014) (← links)
- Exit Problems for Reflected Markov-Modulated Brownian Motion (Q3165488) (← links)
- FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (Q3166714) (← links)
- Total shift during the first passages of Markov-modulated Brownian motion with bilateral ph-type jumps: Formulas driven by the minimal solution matrix of a Riccati equation (Q3186007) (← links)
- Perpetual American vanilla option pricing under single regime change risk: an exhaustive study (Q3301076) (← links)
- Optimal stopping games in models with various information flows (Q3383685) (← links)
- Regime Classification and Stock Loan Valuation (Q3387947) (← links)
- On the First Passage Time Under Regime-Switching with Jumps (Q4561943) (← links)
- VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK (Q4563742) (← links)
- ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY (Q4608109) (← links)
- Ergodic control of diffusions with random intervention times (Q4964777) (← links)
- Explicit Computations for Some Markov Modulated Counting Processes (Q4976494) (← links)
- Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application (Q4999834) (← links)
- Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs (Q5022285) (← links)
- (Q5033284) (← links)
- Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models (Q5079360) (← links)
- Discounted optimal stopping problems in continuous hidden Markov models (Q5086908) (← links)
- DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS (Q5111484) (← links)
- On the lack of memory for distributions of overshoot functionals in the case of upper almost semicontinuous processes defined on a Markov chain (Q5218376) (← links)
- A self-exciting switching jump diffusion: properties, calibration and hitting time (Q5234300) (← links)
- The Resolvent and Expected Local Times for Markov-Modulated Brownian Motion with Phase-Dependent Termination Rates (Q5299568) (← links)
- PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION (Q5389107) (← links)
- Randomization and the valuation of guaranteed minimum death benefits (Q6167872) (← links)