On the First Passage Time Under Regime-Switching with Jumps

DOI10.1007/978-3-319-02069-3_18zbMath1402.60106OpenAlexW39278949MaRDI QIDQ4561943

Chi Chung Siu, Masaaki Kijima

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_18

zbMATH Keywords

first passage timeregime-switching jump-diffusion model

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS ⋮ Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process ⋮ On barrier option pricing by Erlangization in a regime-switching model with jumps

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