Pages that link to "Item:Q4449508"
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The following pages link to First passage times of a jump diffusion process (Q4449508):
Displaying 50 items.
- Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs (Q320103) (← links)
- On a multi-dimensional risk model with regime switching (Q320264) (← links)
- Investment and financing for SMEs with a partial guarantee and jump risk (Q321131) (← links)
- A hyper-Erlang jump-diffusion process and applications in finance (Q328100) (← links)
- Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models (Q334773) (← links)
- Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias (Q395995) (← links)
- On a dual model with barrier strategy (Q442880) (← links)
- Valuing credit default swap under a double exponential jump diffusion model (Q462273) (← links)
- Ratchet consumption over finite and infinite planning horizons (Q462862) (← links)
- Technological advances and the decision to invest (Q470669) (← links)
- Optimal processing rate and buffer size of a jump-diffusion processing system (Q490164) (← links)
- Cliquet-style return guarantees in a regime switching Lévy model (Q506080) (← links)
- First passage time moments of jump-diffusions with Markovian switching (Q538921) (← links)
- The intensity model for pricing credit securities with jump diffusion and counterparty risk (Q541467) (← links)
- On optimality of the barrier strategy for a general Lévy risk process (Q636448) (← links)
- First passage time law for some Lévy processes with compound Poisson: existence of a density (Q654399) (← links)
- Pricing catastrophe swaps: a contingent claims approach (Q654831) (← links)
- Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance (Q659239) (← links)
- On a class of stochastic models with two-sided jumps (Q660145) (← links)
- A structural jump-diffusion model for pricing collateralized debt obligations tranches (Q716531) (← links)
- The \(\beta\)-Meixner model (Q765298) (← links)
- Pricing and hedging defaultable participating contracts with regime switching and jump risk (Q777938) (← links)
- Liquidation risk in insurance under contemporary regulatory frameworks (Q784414) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← links)
- Pricing double-barrier options under a flexible jump diffusion model (Q833566) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122) (← links)
- Pricing dynamic fund protections with regime switching (Q896790) (← links)
- Occupation times of refracted double exponential jump diffusion processes (Q900561) (← links)
- A hyper-exponential jump-diffusion model under the barrier dividend strategy (Q902399) (← links)
- Identification of the local speed function in a Lévy model for option pricing (Q935180) (← links)
- On the time to ruin and the deficit at ruin in a risk model with double-sided jumps (Q952859) (← links)
- A generalized penalty function in the Sparre Andersen risk model with two-sided jumps (Q962017) (← links)
- Fast and accurate pricing of barrier options under Lévy processes (Q964690) (← links)
- Some explicit identities associated with positive self-similar Markov processes (Q1009677) (← links)
- On first passage times of a hyper-exponential jump diffusion process (Q1015316) (← links)
- Third-order extensions of Lo's semiparametric bound for European call options (Q1026788) (← links)
- Optimal consumption choice with intolerance for declining standard of living (Q1030171) (← links)
- Pricing turbo warrants under mixed-exponential jump diffusion model (Q1619424) (← links)
- How does transient signaling input affect the spike timing of postsynaptic neuron near the threshold regime: an analytical study (Q1628229) (← links)
- Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes (Q1652942) (← links)
- Efficient computation of first passage times in Kou's jump-diffusion model (Q1707057) (← links)
- Introducing fuzziness in CDS pricing under a structural model (Q1721233) (← links)
- The first passage time problem for mixed-exponential jump processes with applications in insurance and finance (Q1724420) (← links)
- Exit problems for jump processes having double-sided jumps with rational Laplace transforms (Q1724885) (← links)
- Irreversible investment in oligopoly (Q1761438) (← links)
- The hitting time density for a reflected Brownian motion (Q1930395) (← links)
- On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation (Q1930455) (← links)
- First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps (Q1934375) (← links)
- Decomposition of default probability under a structural credit risk model with jumps (Q1936262) (← links)
