Pages that link to "Item:Q2574619"

The following pages link to Russian and American put options under exponential phase-type Lévy models. (Q2574619):

Displaying 50 items.

• First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps (Q1934375) (← links)
• Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes (Q1958501) (← links)
• Optimal dividends in the dual model under transaction costs (Q2015482) (← links)
• Valuing equity-linked death benefits in jump diffusion models (Q2015627) (← links)
• Pricing American drawdown options under Markov models (Q2030371) (← links)
• Structural pricing of CoCos and deposit insurance with regime switching and jumps (Q2036863) (← links)
• On scale functions for Lévy processes with negative phase-type jumps (Q2052939) (← links)
• A Ray-Knight representation of up-down Chinese restaurants (Q2073233) (← links)
• General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes (Q2076351) (← links)
• Variational formulas for the exit time of hunt processes generated by semi-Dirichlet forms (Q2132543) (← links)
• An optimal stopping problem for spectrally negative Markov additive processes (Q2145820) (← links)
• Martingales associated with functions of Markov and finite variation processes (Q2146384) (← links)
• Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path (Q2146463) (← links)
• Perpetual American double lookback options on drawdowns and drawups with floating strikes (Q2152239) (← links)
• Optimal double stopping problems for maxima and minima of geometric Brownian motions (Q2152240) (← links)
• Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries (Q2176382) (← links)
• The Leland-Toft optimal capital structure model under Poisson observations (Q2211349) (← links)
• Optimal stopping problems for running minima with positive discounting rates (Q2216971) (← links)
• Dividend problem with Parisian delay for a spectrally negative Lévy risk process (Q2247926) (← links)
• Phase-type Fitting of scale functions for spectrally negative Lévy processes (Q2252259) (← links)
• Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework (Q2252399) (← links)
• Analysis of a drawdown-based regime-switching Lévy insurance model (Q2260949) (← links)
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps (Q2333191) (← links)
• Resolvent-techniques for multiple exercise problems (Q2340991) (← links)
• Valuing equity-linked death benefits with a threshold expense strategy (Q2347060) (← links)
• The time of deducting fees for variable annuities under the state-dependent fee structure (Q2347103) (← links)
• A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes (Q2347464) (← links)
• Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs (Q2351282) (← links)
• On future drawdowns of Lévy processes (Q2360246) (← links)
• Curve crossing for random walks reflected at their maximum (Q2373569) (← links)
• A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes (Q2391871) (← links)
• First exit from an open set for a matrix-exponential Lévy process (Q2406785) (← links)
• Lévy risk model with two-sided jumps and a barrier dividend strategy (Q2427836) (← links)
• Numerical techniques in Lévy fluctuation theory (Q2445476) (← links)
• Finite-time survival probability and credit default swaps pricing under geometric Lévy markets (Q2445987) (← links)
• Exit problems in regime-switching models (Q2469551) (← links)
• Valuing finite-lived Russian options (Q2480974) (← links)
• Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance (Q2482283) (← links)
• On infinite horizon optimal stopping of general random walk (Q2483012) (← links)
• Finite expiry Russian options (Q2485844) (← links)
• An optimal stopping problem in a diffusion-type model with delay (Q2489871) (← links)
• First and last passage times of spectrally positive Lévy processes with application to reliability (Q2516387) (← links)
• On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models (Q2520532) (← links)
• Some remarks on first passage of Lévy processes, the American put and pasting principles (Q2572401) (← links)
• Martingales and the distribution of the time to ruin. (Q2574588) (← links)
• Parameter estimation for generalized diffusion processes with reflected boundary (Q2628921) (← links)
• The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier (Q2657891) (← links)
• First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits (Q2673386) (← links)
• The Gerber-Shiu discounted penalty function: a review from practical perspectives (Q2685511) (← links)
• A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes (Q2804409) (← links)