首页|Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps
Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps
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NSTL
Elsevier
We propose for the first time some explicit closed-form Laguerre series expansion formulas for the first passage time density functions of a jump diffusion model. Suppose that the jumps in the model are phase-type distributed. In contrast to existing methods in the literature based on numerical Laplace transform inversion, the proposed formulas are in analytical closed-form and simple to implement. Two different methods are proposed to compute the Laguerre coefficients. Various numerical examples are also given to show the effectiveness of our method. (C) 2022 Published by Elsevier Inc.
NSTL
Elsevier
