Optimal stopping of switching diffusions with state dependent switching rates (Q2804561): Difference between revisions

@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+An explicit solution to an optimal stopping problem with regime switching
+Normal rank
@@ Property / cites work @@
+Closed-Form Solutions for Perpetual American Put Options with Regime Switching
+Normal rank
@@ Property / cites work @@
+Optimal selling rules in a regime switching model
@@ Property / cites work: Optimal selling rules in a regime switching model / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Methods for Stochastic Singular Control Problems
+Normal rank
@@ Property / cites work @@
+REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
+Normal rank
@@ Property / cites work @@
+A lattice method for option pricing with two underlying assets in the regime-switching model
+Normal rank
@@ Property / cites work @@
+Hybrid switching diffusions. Properties and applications
+Normal rank
@@ Property / cites work @@
+Stock Trading: An Optimal Selling Rule
@@ Property / cites work: Stock Trading: An Optimal Selling Rule / rank @@
+Normal rank