منابع مشابه
Optimal Dividend Payouts under Jump-diffusion Risk Processes
This article considers the dividend optimization problem for an insurer with a jumpdiffusion risk process in the presence of fixed and proportional transaction costs. Due to the presence of a fixed transaction cost, the mathematical problem becomes an impulse stochastic control problem. Using a stochastic impulse control approach, we transform the stochastic control problem into a quasi-variati...
متن کاملOptimal dividend policies with transaction costs for a class of jump-diffusion processes
In the talk we will address the problem of finding an optimal dividend policy for a class of jumpdiffusion processes. The jump component is a compound Poisson process with negative jumps, and the drift and diffusion components are assumed to satisfy some regularity and growth restrictions. With each dividend payment there is associated a fixed and a proportional cost. The aim is to maximize exp...
متن کاملOption Pricing under a Mean Reverting Process with Jump-Diffusion and Jump Stochastic Volatility
An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion and exhibits mean reversion. The stochastic volatility follows the jump-diffusion with mean reversion. We find a formulation for the European-style option in terms of characteristic functions.
متن کاملThreshold estimation of jump-diffusion models and interest rate modeling∗
We introduce nonparametric estimators of the coefficients of a univariate jump-diffusion process when observations are recorded discretely. We allow the drift, diffusion and intensity function to be level dependent. We also show that the estimator of the diffusion coefficient is consistent even if the jump process has infinite activity. Our results rely on the fact that it is possible to disent...
متن کاملFirst Passage times of a Jump Diffusion Process
This paper studies the first passage times to flat boundaries for a double exponential jump diffusion process, which consists of a continuous part driven by a Brownian motion and a jump part with jump sizes having a double exponential distribution. Explicit solutions of the Laplace transforms, of both the distribution of the first passage times and the joint distribution of the process and its ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2009
ISSN: 0377-0427
DOI: 10.1016/j.cam.2008.08.046