Two-Sided First Exit Problem for Jump Diffusion Distribution Processes Having Jumps with a Mixture of Erlang

Show more

References

[1] D. Perry and W. Stadje, “Risk Analysis for a Stochastic Cash Management Model with Two Types of Custom ers,” Insurance: Mathematics and Economics, Vol. 26, No. 1, 2000, pp. 25-36.
doi:10.1016/S0167-6687(99)00037-2

[2] S. G. Kou and H. Wang, “First Passage Times of a Jump Diffusion Process,” Advances in Applied Probability, Vol. 35, No. 2, 2003, pp. 504-531.
doi:10.1239/aap/1051201658

[3] N. Cai, “On First Passage Times of a Hyper-Exponential Jump Diffusion Process,” Operations Research Letters, Vol. 37, No. 2, 2009, pp. 127-134.
doi:10.1016/j.orl.2009.01.002

[4] N. Cai, N. Chen and X. W. Wan, “Pricing Double-Barrier Options under a Flexible Jump Diffusion Model,” Opera tions Research Letters, Vol. 37, No. 3, 2009, pp. 163-167.
doi:10.1016/j.orl.2009.02.006

[5] T. Kadankova and N. Veraverbeke, “On Several Two Bondary Problems for a Particular Class of Lévy Proc esses,” Journal of Theoretical Probability, Vol. 20, No. 4, 2007, pp. 1073-1085. doi:10.1007/s10959-007-0088-8

[6] S. Fourati, “Explicit Solutions of the Exit Problem for a Class of Lévy Processes; Applications to the Pricing of Double-Barrier Options,” Stochastic Processes and their Applications, Vol. 122, No. 3, 2012, pp. 1034-1067.
doi:10.1016/j.spa.2011.09.008

[7] M. Jacobsen, “The Time to Ruin for a Class of Markov Additive Risk Process with Two-Sided Jumps,” Advances in Applied Probability, Vol. 37, No. 4, 2005, pp. 963-992.
doi:10.1239/aap/1134587749

[8] D. Perry, W. Stadje and S. Zacks, “Contributions to the Theory of First-Exit Times of Some Compound Processes in Queueing Theory,” Queueing Systems, Vol. 33, No. 4, 1999, pp. 369-379. doi:10.1023/A:1019140616021

[9] N. Cai and S. G. Kou, “Option Pricing under a Mixed-Ex ponential Jump Diffusion Model,” Management Science, Vol. 57, No. 11, 2011, pp. 2067-2081.
doi:10.1287/mnsc.1110.1393

[10] A. L. Lewis and E. Mordecki, “Wiener-Hopf Factoriza tion for Lévy Processes Having Positive Jumps with Ra tional Transforms,” Journal of Applied Probability, Vol. 45, No. 1, 2008, pp. 118-134.
doi:10.1239/jap/1208358956

[11] A. Kuznetsov, “On the Distribution of Exponential Func tionals for Lévy Processes with Jumps of Rational Trans form,” Stochastic Processes and their Applications, Vol. 122, No. 2, 2012, pp. 654-663.
doi:10.1016/j.spa.2011.09.007