A note on first passage functionals for hyper-exponential jump-diffusion processes

DOI10.1214/ECP.V18-2017zbMath1307.60112MaRDI QIDQ742961

Yu-Ting Chen, Ming-Chi Chang, Yuan-Chung Sheu

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

zbMATH Keywords

first passage functionalhyper-exponential jump-diffusion processtwo-sided exit problem

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial applications of other theories (91G80)

Related Items (3)

A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms ⋮ Occupation time of Lévy processes with jumps rational Laplace transforms ⋮ Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model

This page was built for publication: A note on first passage functionals for hyper-exponential jump-diffusion processes