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Exit problems for jump processes with applications to dividend problems · Study

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ArticleExit problems for jump processes with applications to dividend problems

Chuancun Yin2012

OA

Articlebronze2012

Exit problems for jump processes with applications to dividend problems

Chuancun Yin · Ying Shen · Yuzhen Wen

113 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Probability and Risk Models Probability and Statistical Research Stochastic processes and financial applications

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 113 citations exist upstream.

References

2002A Jump-Diffusion Model for Option Pricing 2004Option Pricing Under a Double Exponential Jump Diffusion Model 2003First passage times of a jump diffusion process 2003Russian and American put options under exponential phase-type Lévy models 2007On the optimal dividend problem for a spectrally negative Lévy process 2005The Time Value of Ruin in a Sparre Andersen Model 2006On Optimal Dividend Strategies In The Compound Poisson Model 2002Optimal stopping and perpetual options for Lévy processes

Cited by

2014ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS

Details

Year2012

Typearticle

Published2012-12-19

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations113

Files0 public / 0

ShelfProbability and Risk Models

Identifiers

doi10.1016/j.cam.2012.12.004

openalex_workW1998637290

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