A Hyper-Erlang Jump-Diffusion Process and Applications in Finance

作     者：DONG Yinghui HAN Min 

作者机构：Department of Mathematics and PhysicsSuzhou University of Science and Technology 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2016年第29卷第2期

页      面：557-572页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 081203[工学-计算机应用技术] 08[工学] 0714[理学-统计学（可授理学、经济学学位）] 0835[工学-软件工程] 070103[理学-概率论与数理统计] 0701[理学-数学] 0812[工学-计算机科学与技术（可授工学、理学学位）] 

基　　金：supported by the Natural Science Foundation of China under Grant Nos.11301369,11401419 the Natural Science Foundation of Jiangsu Province under Grant Nos.BK20130260,BK20140279 

主　　题：Barrier strategy first passage time hyper-Erlang distribution reflected jump-diffusion process Russian option. 

摘      要：This paper studies the first passage time problem for a reflected two-sided jump-diffusion risk model with the jumps having a hyper-Erlang *** authors give the explicit closed-form expression for the joint Laplace transform of the first passage time and the overshoot for the reflected ***,the formula is applied to the ruin problem under the barrier dividend strategy and the pricing of the Russian option.