We investigate some important probabilistic properties relating to the first passage time of a hyper-exponential jump diffusion process.
The first passage time of a jump diffusion process { X t : t ≥ 0 } is defined as ≔ τ b ≔ inf { t ≥ 0 : X t ≥ b } , where the constant b is a flat boundary, the ...
We investigate some important probabilistic properties relating to the first passage time of a hyper-exponential jump diffusion process, including its ...
This investigation concerns the hyper-exponential jump-diffusion processes. Following the exposition of the two-sided exit problem by Kyprianou, A. E., ...
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The joint Laplace transform of the first passage time to an upper level and the corresponding overshoot is studied and explicit solutions are presented when ...
ABSTRACT: This article introduces a hyper-exponential jump diffusion process based on the continuity correction for discrete barrier options under the standard ...
This paper studies the first passage times to flat boundaries for a double exponential jump diffusion process, which consists of a continuous part driven by a ...
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This paper studies the first passage times to flat boundaries for a double exponential jump diffusion process, which consists of a continuous part driven by ...
This paper studies the first passage times to flat boundaries for a double exponential jump diffusion process, which consists of a continuous part driven by ...
Abstract. We explore the first passage problem for sticky reflecting diffusion processes with double exponential jumps. The joint Laplace transform of the ...