44 citations · 231 across the 45 of their papers we have counts for
Showing 2017 · math.PRShow all
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math.PR2017★ 2 cited
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki +1
De Finetti's optimal dividend problem has recently been extended to the case dividend payments can only be made at Poisson arrival times. This paper considers the version with bail…
math.PR2017★ 5 cited
Fluctuation theory for level-dependent Lévy risk processes
Irmina Czarna, José-Luis Pérez, Tomasz Rolski +1
A level-dependent Lévy process solves the stochastic differential equation , where is a spectrally negative Lévy process. A special case is a multi-re…
math.PR2017
American options under periodic exercise opportunities
José Luis Pérez, Kazutoshi Yamazaki
In this paper, we study a version of the perpetual American call/put option where exercise opportunities arrive only periodically. Focusing on the exponential Lévy models with i.i.…