Pricing dynamic fund protections for a hyperexponential jump diffusion process

DOI10.1080/03610926.2017.1301475zbMath1386.91148OpenAlexW2594410067MaRDI QIDQ4638697

Lyu Chen, Zhuo Jin, Wei Wang, Lin-Yi Qian

Publication date: 27 April 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1301475

zbMATH Keywords

hyperexponential distributiondynamic fund protectionGaver-Stehfest algorithm

Mathematics Subject Classification ID

Related Items (3)

LOCALLY RISK-MINIMIZING HEDGING FOR EUROPEAN CONTINGENT CLAIMS WRITTEN ON NON-TRADABLE ASSETS WITH COMMON JUMP RISK ⋮ Pricing and hedging for correlation options with regime switching and common jump risk ⋮ Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier

Cites Work

• A Jump-Diffusion Model for Option Pricing
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• Reset and withdrawal rights in dynamic fund protection
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• On first passage times of a hyper-exponential jump diffusion process
• From ruin theory to pricing reset guarantees and perpetual put options
• Exit problems for jump processes with applications to dividend problems
• Valuing equity-linked death benefits in jump diffusion models
• Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
• First passage times of a jump diffusion process
• VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
• Valuation of Discrete Dynamic Fund Protection Under Lévy Processes
• Pricing Perpetual Fund Protection with Withdrawal Option
• Pricing Discrete Dynamic Fund Protections
• Pricing Dynamic Investment Fund Protection
• Dynamic Fund Protection
• Pricing Perpetual Options for Jump Processes

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