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.

• Perpetual American options in diffusion-type models with running maxima and drawdowns (Q271879) (← links)
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) (← links)
• A hyper-Erlang jump-diffusion process and applications in finance (Q328100) (← links)
• Limit theorems for stationary Markov processes with \(L^{2}\)-spectral gap (Q424699) (← links)
• On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps (Q432503) (← links)
• On a dual model with barrier strategy (Q442880) (← links)
• Occupation densities in solving exit problems for Markov additive processes and their reflections (Q444361) (← links)
• Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes (Q449406) (← links)
• A note on Wiener-Hopf factorization for Markov additive processes (Q457101) (← links)
• Games of singular control and stopping driven by spectrally one-sided Lévy processes (Q468726) (← links)
• Optimal processing rate and buffer size of a jump-diffusion processing system (Q490164) (← links)
• Contraction options and optimal multiple-stopping in spectrally negative Lévy models (Q496121) (← links)
• On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models (Q506083) (← links)
• Extremes of Markov-additive processes with one-sided jumps, with queueing applications (Q539512) (← links)
• On optimality of the barrier strategy for a general Lévy risk process (Q636448) (← 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)
• Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes (Q739497) (← links)
• Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options (Q765888) (← links)
• Pricing and hedging defaultable participating contracts with regime switching and jump risk (Q777938) (← links)
• Optimality of hybrid continuous and periodic barrier strategies in the dual model (Q781548) (← links)
• Exotic options under Lévy models: an overview (Q818210) (← links)
• Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122) (← links)
• Occupation times of hyper-exponential jump diffusion processes with application to price step options (Q893129) (← links)
• The law of the supremum of a stable Lévy process with no negative jumps (Q948745) (← links)
• The integral option in a model with jumps (Q952844) (← links)
• On the time to ruin and the deficit at ruin in a risk model with double-sided jumps (Q952859) (← links)
• Fast and accurate pricing of barrier options under Lévy processes (Q964690) (← links)
• First passage of time-reversible spectrally negative Markov additive processes (Q969502) (← links)
• Option pricing model based on a Markov-modulated diffusion with jumps (Q985996) (← links)
• Singularities of the matrix exponent of a Markov additive process with one-sided jumps (Q988682) (← links)
• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model (Q1003336) (← links)
• On perpetual American put valuation and first-passage in a regime-switching model with jumps (Q1003346) (← links)
• A note on pasting conditions for the American perpetual optimal stopping problem (Q1003793) (← links)
• On first passage times of a hyper-exponential jump diffusion process (Q1015316) (← links)
• Renewal theorems and stability for the reflected process (Q1016615) (← links)
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (Q1431556) (← links)
• Pricing turbo warrants under mixed-exponential jump diffusion model (Q1619424) (← links)
• Optimality of multi-refraction control strategies in the dual model (Q1622523) (← links)
• Analytic techniques for option pricing under a hyperexponential Lévy model (Q1639540) (← links)
• On optimal periodic dividend strategies for Lévy risk processes (Q1641138) (← links)
• Pricing external barrier options in a regime-switching model (Q1657586) (← links)
• On the optimality of periodic barrier strategies for a spectrally positive Lévy process (Q1681080) (← links)
• Occupation times of general Lévy processes (Q1692245) (← links)
• Hybrid Laplace transform and finite difference methods for pricing American options under complex models (Q1704172) (← links)
• The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting (Q1708974) (← links)
• Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes (Q1721911) (← links)
• The first passage time problem for mixed-exponential jump processes with applications in insurance and finance (Q1724420) (← links)
• On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts. (Q1766027) (← links)
• On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation (Q1930455) (← links)