Gapeev, Pavel V.; Stoev, Yavor I. On some functionals of the first passage times in jump models of stochastic volatility. (English) Zbl 1427.60170 Stochastic Anal. Appl. 38, No. 1, 149-170 (2020). MSC: 60J65 60G40 60E10 34B05 60J60 PDFBibTeX XMLCite \textit{P. V. Gapeev} and \textit{Y. I. Stoev}, Stochastic Anal. Appl. 38, No. 1, 149--170 (2020; Zbl 1427.60170) Full Text: DOI Link
Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu On some functionals of the first passage times in models with switching stochastic volatility. (English) Zbl 1395.91442 Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850001, 21 p. (2018). MSC: 91G20 60G40 60J65 PDFBibTeX XMLCite \textit{P. V. Gapeev} et al., Int. J. Theor. Appl. Finance 21, No. 1, Article ID 1850001, 21 p. (2018; Zbl 1395.91442) Full Text: DOI
Gapeev, Pavel V.; Stoev, Yavor I. On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models. (English) Zbl 1354.60089 Stat. Probab. Lett. 121, 152-162 (2017). MSC: 60J75 60J60 60H10 60J65 60G55 60G40 60G51 60E10 34B05 PDFBibTeX XMLCite \textit{P. V. Gapeev} and \textit{Y. I. Stoev}, Stat. Probab. Lett. 121, 152--162 (2017; Zbl 1354.60089) Full Text: DOI