On the first passage time under regime-switching with jumps

Kijima, M; Siu, CC

On the first passage time under regime-switching with jumps

Kijima, M Siu, CC

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Publication Type:: Chapter
Citation:: Inspired by Finance: The Musiela Festschrift, 2014, pp. 387 - 410
Issue Date:: 2014-01-01

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Field	Value	Language
dc.contributor.author	Kijima, M	en_US
dc.contributor.author	Siu, CC	en_US
dc.date.issued	2014-01-01	en_US
dc.identifier.citation	Inspired by Finance: The Musiela Festschrift, 2014, pp. 387 - 410	en_US
dc.identifier.isbn	3319020684	en_US
dc.identifier.isbn	9783319020686	en_US
dc.identifier.uri	http://hdl.handle.net/10453/121584
dc.description.abstract	© Springer International Publishing Switzerland 2014. All rights are reserved. In this paper, we present the analytical solution for the Laplace transform of the joint distribution of the first passage time and undershoot/overshoot value under a regime-switching jump-diffusion model. With the help of some martingale technique, the Laplace transform of the first passage time becomes the solution of a system of linear equations. The methodology discussed here is fairly elementary and can be applied to many stopping-time problems under a regime-switching model with jump risks. Some numerical examples are given to demonstrate the usefulness of our method.	en_US
dc.relation.ispartof	Inspired by Finance: The Musiela Festschrift	en_US
dc.relation.isbasedon	10.1007/978-3-319-02069-3_18	en_US
dc.title	On the first passage time under regime-switching with jumps	en_US
dc.type	Chapter
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	150204 Insurance Studies	en_US
utslib.for	1599 Other Commerce, Management, Tourism and Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US

Abstract:

© Springer International Publishing Switzerland 2014. All rights are reserved. In this paper, we present the analytical solution for the Laplace transform of the joint distribution of the first passage time and undershoot/overshoot value under a regime-switching jump-diffusion model. With the help of some martingale technique, the Laplace transform of the first passage time becomes the solution of a system of linear equations. The methodology discussed here is fairly elementary and can be applied to many stopping-time problems under a regime-switching model with jump risks. Some numerical examples are given to demonstrate the usefulness of our method.

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http://hdl.handle.net/10453/121584