Closed-Form Solutions for Perpetual American Put Options with Regime Switching (Q4830618): Difference between revisions
From MaRDI portal
Changed an Item |
Set OpenAlex properties. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1137/s0036139903426083 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2053604117 / rank | |||
Normal rank | |||
Latest revision as of 11:16, 30 July 2024
scientific article; zbMATH DE number 2121995
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed-Form Solutions for Perpetual American Put Options with Regime Switching |
scientific article; zbMATH DE number 2121995 |
Statements
Closed-Form Solutions for Perpetual American Put Options with Regime Switching (English)
0 references
13 December 2004
0 references
Markov chain
0 references
optimal stopping time
0 references
American options
0 references
regime switching
0 references
modified smooth fit principle
0 references
