Iterative algorithm for the first passage time distribution in a jump–diffusion model with regime-switching, and its applications

For a regime-switching model with a finite number of regimes and double phase-type jumps, Jiang and Pistorius (2008) derived matrix equations with real parameters for the Wiener–Hopf factorization. The Laplace transform of the first passage time distribution is expressed in terms of the solution of...

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Bibliographic Details
Published in:	Journal of computational and applied mathematics Vol. 294; pp. 177 - 195
Main Authors:	Kim, Jerim, Kim, Bara, Wee, In-Suk
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.03.2016
Subjects:	Algorithms Defaultable bond pricing Factorization First passage time Inversions Iterative algorithm Iterative algorithms Jump–diffusion Laplace transform Laplace transforms Mathematical analysis Mathematical models Regime-switching Switching 65C40 Regime-switching First passage time Iterative algorithm Defaultable bond pricing 60J25 Laplace transform Jump–diffusion 60J22
ISSN:	0377-0427, 1879-1778
Online Access:	Get full text
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