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On first passage times of a hyper-exponential jump diffusion process · Study

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ArticleOn first passage times of a hyper-exponential jump diffusion process

Ning Cai2009

Article2009

On first passage times of a hyper-exponential jump diffusion process

70 citations·0/0 files stored·Operations Research Letters

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Probability and Risk Models Stochastic processes and financial applications Advanced Queuing Theory Analysis

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References

1976Option pricing when underlying stock returns are discontinuous 2003Financial Modelling with Jump Processes 2002A Jump-Diffusion Model for Option Pricing 2004Stochastic Calculus for Finance II 2003First passage times of a jump diffusion process 2004Stochastic calculus for finance 2003Russian and American put options under exponential phase-type Lévy models 2005Pricing Path-Dependent Options with Jump Risk via Laplace Transforms

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2012Precautionary measures for credit risk management in jump models 2014Valuation of stock loans with jump risk 2016Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view 2012Distributional properties of exponential functionals of Lévy processes 2021Adaptation to climate change: Extreme events versus gradual changes 2017Transform analysis for Hawkes processes with applications in dark pool trading

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Year2009

Typearticle

Published2009-01-31

VenueOperations Research Letters

ISSN-L0167-6377

Languageen

Citations70

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.orl.2009.01.002

openalex_workW2111774291

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