Occupation times of hyper-exponential jump diffusion processes with application to price step options
type: Item
instance of: scholarly article
title: Occupation times of hyper-exponential jump diffusion processes with application to price step options
zbMATH Open document ID: 1333.60177
author: N. E. Zubov
published in: Journal of Computational and Applied Mathematics
publication date: 2015-11-13T00:00:00Z
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6508287
zbMATH Keywords: jump diffusion processes
zbMATH Keywords: occupation times
zbMATH Keywords: Laplace transform
zbMATH Keywords: step options
MaRDI profile type: Publication
full work available at URL: j.cam.2015.09.001
OpenAlex ID: W1417636312
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DOI: 10.1016/J.CAM.2015.09.001
description: scientific article; zbMATH DE number 6508287