On first passage times of a hyper-exponential jump diffusion process

被引：54

作者：

Cai, Ning ^{[1
]}

机构：

[1] Hong Kong Univ Sci & Technol, Dept Ind Engn Logist Management, Kowloon, Hong Kong, Peoples R China

来源：

OPERATIONS RESEARCH LETTERS | 2009年 / 37卷 / 02期

关键词：

Jump diffusion; First passage times; Hyper-exponential distribution;

D O I：

10.1016/j.orl.2009.01.002

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We investigate some important probabilistic properties relating to the first passage time of a hyper-exponential jump diffusion process, including its finiteness, expectation, conditional memorylessness, and conditional independence. Moreover. the joint distribution of the first passage time and the overshoot is studied from a primal-dual perspective. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：127 / 134

页数：8

共 10 条

[1] Russian and American put options under exponential phase-type Levy models [J].