A Hyper-Erlang Jump-Diffusion Process and Applications in Finance

DONG Yinghui,HAN Min

系统科学与复杂性(英文) ›› 2016, Vol. 29 ›› Issue (2) : 557-572.

PDF(229 KB)
PDF(229 KB)
系统科学与复杂性(英文) ›› 2016, Vol. 29 ›› Issue (2) : 557-572. DOI: 10.1007/s11424-015-3150-0

A Hyper-Erlang Jump-Diffusion Process and Applications in Finance

    DONG Yinghui , HAN Min
作者信息 +

A Hyper-Erlang Jump-Diffusion Process and Applications in Finance

    DONG Yinghui , HAN Min
Author information +
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Abstract

This paper studies the first passage time problem for a reflected two-sided jump-diffusion risk model with the jumps having a hyper-Erlang distribution. The authors give the explicit closed-form expression for the joint Laplace transform of the first passage time and the overshoot for the reflected process. Finally, the formula is applied to the ruin problem under the barrier dividend strategy and the pricing of the Russian option.

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DONG Yinghui,HAN Min. A Hyper-Erlang Jump-Diffusion Process and Applications in Finance. 系统科学与复杂性(英文), 2016, 29(2): 557-572 https://doi.org/10.1007/s11424-015-3150-0
DONG Yinghui , HAN Min. A Hyper-Erlang Jump-Diffusion Process and Applications in Finance. Journal of Systems Science and Complexity, 2016, 29(2): 557-572 https://doi.org/10.1007/s11424-015-3150-0
PDF(229 KB)

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