作者：Cai, Ning; Chen, Nan; Wan, Xiangwei
作者单位：Hong Kong University of Science & Technology; Chinese University of Hong Kong
摘要：In this paper, we provide Laplace transform-based analytical solutions to pricing problems of various occupation-time-related derivatives such as step options, corridor options, and quantile options under Kou's double exponential jump diffusion model. These transforms can be inverted numerically via the Euler Laplace inversion algorithm, and the numerical results illustrate that our pricing methods are accurate and efficient. The analytical solutions can be obtained primarily because we derive...
作者：Dai, J. G.; He, Shuangchi
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：We study G/G/n + GI queues in which customer patience times are independent, identically distributed following a general distribution. When a customer's waiting time in queue exceeds his patience time, the customer abandons the system without service. For the performance of such a system, we focus on the abandonment process and the queue length process. We prove that under some conditions, a deterministic relationship between the two stochastic processes holds asymptotically under the diffusio...
