On Foster–Lyapunov criteria for exponential ergodicity of regime-switching jump diffusion processes with countable regimes
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2021.48
Abstract: Abstract This paper is devoted to the study of regime-switching jump diffusion processes with countable regimes. It aims to establish Foster–Lyapunov-type criteria for exponential ergodicity of such processes. After recalling results concerning the petiteness of… read more here.
Keywords: jump diffusion; foster lyapunov; diffusion processes; switching jump ... See more keywords
Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
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DOI: 10.1080/00207160.2024.2327612
Abstract: Vanilla options become effective immediately after they are entered, while some exotic options will only come to effective some time after they are bought or sold. Forward starting options are one kind of such exotic… read more here.
Keywords: forward starting; starting options; volatility; model ... See more keywords
Properties of switching jump diffusions: Maximum principles and Harnack inequalities
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DOI: 10.3150/17-bej1012
Abstract: This work examines a class of switching jump diffusion processes. The main effort is devoted to proving the maximum principle and obtaining the Harnack inequalities. Compared with the diffusions and switching diffusions, the associated operators… read more here.
Keywords: jump diffusions; properties switching; diffusions maximum; jump ... See more keywords