Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
KimJerim, KimBara, WeeInSuk · Journal of Computational and Applied Mathematics · 2016
For a regime-switching model with a finite number of regimes and double phase-type jumps, Jiang and Pistorius (2008) derived matrix equations with real parameters for the Wiener-Hopf factorization....