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The distribution of refracted Lévy processes with jumps having rational Laplace transforms

Published online by Cambridge University Press:  30 November 2017

Jiang Zhou
Affiliation:
Peking University
Lan Wu
Affiliation:
Peking University
Corresponding

Abstract

We consider a refracted jump diffusion process having two-sided jumps with rational Laplace transforms. For such a process, by applying a straightforward but interesting approach, we derive formulae for the Laplace transform of its distribution. Our formulae are presented in an attractive form and the approach is novel. In particular, the idea in the application of an approximating procedure is remarkable. In addition, the results are used to price variable annuities with state-dependent fees.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 2017 

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References

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