On the discounted penalty at ruin in a jump-diffusion and the perpetual put option (Q1265935)
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scientific article; zbMATH DE number 1202775
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the discounted penalty at ruin in a jump-diffusion and the perpetual put option |
scientific article; zbMATH DE number 1202775 |
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On the discounted penalty at ruin in a jump-diffusion and the perpetual put option (English)
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7 November 1999
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The paper deals with a stochastic model of ruin theory which is obtained by adding a Wiener process to the right side term of the classical non-random model. The corresponding expected discounted value of a penalty at ruin satisfies a renewal equation, which is obtained via a probabilistic approach. Pricing perpetual put options is examined, and the new equations so obtained extend classical known results already established by Merton.
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ruin theory
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renewal equation
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jump-diffusion process
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