On scale functions for Lévy processes with negative phase-type jumps
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DOI: 10.1007/s11134-021-09696-w
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- Asmussen, Søren & Avram, Florin & Pistorius, Martijn R., 2004. "Russian and American put options under exponential phase-type Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 79-111, January.
- Søren Asmussen & Patrick J. Laub & Hailiang Yang, 2019. "Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits," Risks, MDPI, vol. 7(1), pages 1-22, February.
- D'Auria, Bernardo & Kella, Offer & Ivanovs, Jevgenijs & Mandjes, Michel, 2010. "First passage of a Markov additive process and generalized Jordan chains," DES - Working Papers. Statistics and Econometrics. WS ws103923, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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Cited by:
- Zhang, Aili & Li, Shuanming & Wang, Wenyuan, 2023. "A scale function based approach for solving integral-differential equations in insurance risk models," Applied Mathematics and Computation, Elsevier, vol. 450(C).
- Zbigniew Palmowski & Pawe{l} Stk{e}pniak, 2022. "Last passage American cancellable option in L\'evy models," Papers 2212.01119, arXiv.org.
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Keywords
Fluid flow model; Iterative scheme; Phase-type distribution; Scale function; Rational transform;All these keywords.
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