A Generalized Renewal Equation for Perturbed Compound Poisson Processes with Two-Sided Jumps

被引：0
|
作者：
Chen, Yu-Ting [2 ]
Sheu, Yuan-Chung [1 ]
机构：
[1] Natl Chiao Tung Univ, Dept Appl Math, Hsinchu, Taiwan
[2] Acad Sinica, Inst Math, Taipei, Taiwan
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2009年 / 27卷 / 05期
关键词：
Discounted penalty; Perpetual American option; Perturbed compound Poisson process; Renewal equation; LEVY PROCESSES; DISCOUNTED PENALTY; DIFFUSION; AMERICAN; OPTIONS; RUIN;
D O I：
10.1080/07362990903136421
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this article, we study the discounted penalty at ruin in a perturbed compound Poisson model with two-sided jumps. We show that it satisfies a renewal equation under suitable conditions and consider an application of this renewal equation to study some perpetual American options. In particular, our renewal equation gives a generalization of the renewal equation in Gerber and Landry [2] where only downward jumps are allowed.
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页码：897 / 910
页数：14
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