FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS (Q5242416)
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scientific article; zbMATH DE number 7128349
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS |
scientific article; zbMATH DE number 7128349 |
Statements
8 November 2019
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participating contract
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regime switching
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jump-diffusion process
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Laplace transform
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FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS (English)
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