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

被引：1

作者：

Dong Yinghui ^{[1
]}

Han Min ^{[1
]}

机构：

[1] Suzhou Univ Sci & Technol, Dept Math & Phys, Suzhou 215009, Peoples R China

来源：

JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY | 2016年 / 29卷 / 02期

关键词：

Barrier strategy; first passage time; hyper-Erlang distribution; reflected jump-diffusion process; Russian option; LEVY; EXIT;

D O I：

10.1007/s11424-015-3150-0

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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.

引用

页码：557 / 572

页数：16

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