First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits.

Autor:	Ai, Meiqiao, Zhang, Zhimin, Yu, Wenguang
Předmět:	SURVIVORS' benefits JUMP processes INTEGRO-differential equations FAIR value
Zdroj:	Journal of Industrial & Management Optimization; May2022, Vol. 18 Issue 3, p1689-1707, 19p
Abstrakt:	This paper studies some first passage time problems in a refracted jump diffusion process with hyper-exponential jumps. Closed-form expressions for four functions associated with the first passage time are obtained by solving some ordinary integro-differential equations. In addition, the obtained results are used to value equity-linked death benefit products with state-dependent fees. Specifically, we obtain the closed-form Laplace transform of the fair value of barrier option, which is further recovered by the bilateral Abate-Whitt algorithm. Numerical results confirm that the proposed approach is efficient. [ABSTRACT FROM AUTHOR]
Databáze:	Complementary Index
Externí odkaz:	Zobrazit plný text záznamu