The First Passage Time Problem for Mixed-Exponential Jump Processes with Applications in Insurance and Finance
Joint Authors
Zong, Zhaojun
Wen, Yuzhen
Shen, Ying
Yin, Chuancun
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-07-07
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
This paper studies the first passage times to constant boundaries for mixed-exponential jump diffusion processes.
Explicit solutions of the Laplace transforms of the distribution of the first passage times, the joint distribution of the first passage times and undershoot (overshoot) are obtained.
As applications, we present explicit expression of the Gerber-Shiu functions for surplus processes with two-sided jumps, present the analytical solutions for popular path-dependent options such as lookback and barrier options in terms of Laplace transforms, and give a closed-form expression on the price of the zero-coupon bond under a structural credit risk model with jumps.
American Psychological Association (APA)
Yin, Chuancun& Wen, Yuzhen& Zong, Zhaojun& Shen, Ying. 2014. The First Passage Time Problem for Mixed-Exponential Jump Processes with Applications in Insurance and Finance. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-1033843
Modern Language Association (MLA)
Yin, Chuancun…[et al.]. The First Passage Time Problem for Mixed-Exponential Jump Processes with Applications in Insurance and Finance. Abstract and Applied Analysis No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-1033843
American Medical Association (AMA)
Yin, Chuancun& Wen, Yuzhen& Zong, Zhaojun& Shen, Ying. The First Passage Time Problem for Mixed-Exponential Jump Processes with Applications in Insurance and Finance. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-1033843
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1033843