Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications

DOI10.1016/j.cam.2015.08.015zbMath1339.60106OpenAlexW2215963623MaRDI QIDQ893122

Bara Kim, Jerim Kim, In-Suk Wee

Publication date: 13 November 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.08.015

zbMATH Keywords

Laplace transformiterative algorithmfirst passage timejump-diffusion modelregime-switchingdefaultable bond pricing

Mathematics Subject Classification ID

Related Items (2)

Pricing external barrier options in a regime-switching model ⋮ On barrier option pricing by Erlangization in a regime-switching model with jumps

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