This paper aims to extend the analytical tractability of the Black–Scholes model to alternative
models with arbitrary jump size distributions. More precisely, we propose a jump diffusion …

This paper investigates the first passage times to flat boundaries for hyper-exponential jump
(diffusion) processes. Explicit solutions of the Laplace transforms of the distribution of the …

Abstract The Wiener-Hopf factorization of a complex function arises in a variety of fields in
applied mathematics such as probability, finance, insurance, queuing theory, radio …

Contingent convertibles (CoCos) and bail-in debt for banks have been proposed as
potential mechanisms to enhance financial stability. They function by converting to equity …

In this paper, we provide analytical pricing formulae of vulnerable barrier options and
vulnerable double barrier options. To obtain the price of vulnerable double barrier options …

In this paper we consider the European option valuation problem. We assume that the
underlying asset follows a geometric Levy process. The log-price is a sum of a Brownian …

Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of
the most important and difficult challenges in bank management. Due to unexpected and …

This paper studies de Finetti's optimal dividend problem with capital injection. We confirm
the optimality of a double barrier strategy when the underlying risk model follows a Lévy …

This paper examines the valuation of American knock-out and knock-in step options. The
structures of the immediate exercise regions of the various contracts are identified. Typical …

Motivated by analytical valuation of timer options (an important innovation in realized
variance‐based derivatives), we explore their novel mathematical connection with stochastic …