319 citations · 405 across the 11 of their papers we have counts for
6 papers · 1 filter
A method of moments approach to pricing double barrier contracts driven by a general class of jump diffusions
Bjorn Eriksson, Martijn Pistorius
We present the method of moments approach to pricing barrier-type options when the underlying is modelled by a general class of jump diffusions. By general principles the option pr…
A transform approach to compute prices and greeks of barrier options driven by a class of Levy processes
Marc Jeannin, Martijn Pistorius
In this paper we propose a transform method to compute the prices and greeks of barrier options driven by a class of Levy processes. We derive analytical expressions for the Laplac…
The probability of exceeding a piecewise deterministic barrier by the heavy-tailed renewal compound process
Zbigniew Palmowski, Martijn Pistorius
We analyze the asymptotics of crossing a high piecewise linear barriers by a renewal compound process with the subexponential jumps. The study is motivated by ruin probabilities of…
Cramér asymptotics for finite time first passage probabilities of general Lévy processes
Zbigniew Palmowski, Martijn Pistorius
We derive the exact asymptotics of if and tend to infinity with constant, for a Lévy process that admits exponential moments. The proo…
On perpetual American put valuation and first-passage in a regime-switching model with jumps
Z. Jiang, M. R. Pistorius
In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching Lévy model. For the case of the (dense) class of phase-type jump…
Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
Florin Avram, Zbigniew Palmowski, Martijn R. Pistorius
Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of cla…