Exit Times, Undershoots and Overshoots for Reflected CIR Process with Two-Sided Jumps
Author:
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11009-019-09730-8.pdf
Reference29 articles.
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3. Avram F, Kyprianou AE, Pistorius M R (2004) Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. Ann Appl Probab 14:215–238
4. Bo L (2013) First passage times of reflected Ornstein–Uhlenbeck processes with two-sided jumps. Queueing Syst 73:105–118
5. Bo L, Wang Y, Yang X (2011) Some integral functionals of reflected SDEs and their applications in finance. Quant Finance 11:343–348
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