Abstract
This paper studies the first passage time problem for a reflected two-sided jump-diffusion risk model with the jumps having a hyper-Erlang distribution. The authors give the explicit closed-form expression for the joint Laplace transform of the first passage time and the overshoot for the reflected process. Finally, the formula is applied to the ruin problem under the barrier dividend strategy and the pricing of the Russian option.
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This research was supported by the Natural Science Foundation of China under Grant Nos. 11301369, 11401419, and the Natural Science Foundation of Jiangsu Province under Grant Nos. BK20130260, BK20140279.
This paper was recommended for publication by Editor ZOU Guohua.
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Dong, Y., Han, M. A Hyper-Erlang Jump-Diffusion Process and Applications in Finance. J Syst Sci Complex 29, 557–572 (2016). https://doi.org/10.1007/s11424-015-3150-0
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DOI: https://doi.org/10.1007/s11424-015-3150-0