Two-sided boundary problem for Kou's process

Ie.V. Karnaukh

doi:10.15421/241313

Two-sided boundary problem for Kou's process

Ie.V. Karnaukh (Oles Honchar Dnipropetrovsk National University)

Abstract

In this paper the distributions of two-sided boundary functionals for double exponential jump diffusion processes are treated.

Keywords

Kou’s model; jump-diffusion process; two-sided boundary functionals

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References

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