Two-sided boundary functionals for Kou process
Probability
2013-11-08 v1
Authors:
Ievgen Karnaukh
Abstract
In this paper the moment generating function of two-sided boundary functionals for double exponential jump diffusion processes are treated.
Cite
@article{arxiv.1311.1648,
title = {Two-sided boundary functionals for Kou process},
author = {Ievgen Karnaukh},
journal= {arXiv preprint arXiv:1311.1648},
year = {2013}
}
Comments
9 pages, 2 figures
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