Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
type: Item
instance of: scholarly article
title: Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
zbMATH Open document ID: 1339.60106
author: Jerim Kim
author: Bara Kim
author: In-Suk Wee
published in: Journal of Computational and Applied Mathematics
publication date: 2015-11-13T00:00:00Z
Mathematics Subject Classification ID: 60J22
Mathematics Subject Classification ID: 60J10
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 60J25
Mathematics Subject Classification ID: 65C40
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6508283
zbMATH Keywords: jump-diffusion model
zbMATH Keywords: first passage time
zbMATH Keywords: Laplace transform
zbMATH Keywords: iterative algorithm
zbMATH Keywords: regime-switching
zbMATH Keywords: defaultable bond pricing
MaRDI profile type: Publication
full work available at URL: j.cam.2015.08.015
OpenAlex ID: W2215963623
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DOI: 10.1016/J.CAM.2015.08.015
description: scientific article; zbMATH DE number 6508283