Pricing dynamic fund protections for a hyperexponential jump diffusion process
Author:
Affiliation:
1. School of Statistics, East China Normal University, Shanghai, China
2. Department of Economics, Centre for Actuarial Studies, The University of Melbourne, VIC, Australia
3. Department of Financial Engineering, Ningbo University, Ningbo, China
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2017.1301475
Reference20 articles.
1. On first passage times of a hyper-exponential jump diffusion process
2. Pricing double-barrier options under a flexible jump diffusion model
3. Reset and withdrawal rights in dynamic fund protection
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