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...

Celý popis

Uložené v:

Podrobná bibliografia
Vydané v:	Journal of computational and applied mathematics Ročník 294; s. 177 - 195
Hlavní autori:	Kim, Jerim, Kim, Bara, Wee, In-Suk
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier B.V 01.03.2016
Predmet:	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
On-line prístup:	Získať plný text
Tagy:	Pridať tag Žiadne tagy, Buďte prvý, kto otaguje tento záznam!

Buďte prvý, kto okomentuje tento záznam!