Perpetual American maximum options with Markov-modulated dynamics (Q392759): Difference between revisions
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| Property / cites work: Option pricing and Esscher transform under regime switching / rank | |||
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| Property / cites work: An explicit solution to an optimal stopping problem with regime switching / rank | |||
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| Property / cites work: Closed-Form Solutions for Perpetual American Put Options with Regime Switching / rank | |||
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| Property / cites work: MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS / rank | |||
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| Property / cites work: Q5297394 / rank | |||
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| Property / cites work: Stock Trading: An Optimal Selling Rule / rank | |||
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Revision as of 05:22, 7 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Perpetual American maximum options with Markov-modulated dynamics |
scientific article |
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Perpetual American maximum options with Markov-modulated dynamics (English)
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15 January 2014
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perpetual options
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Markov-modulated dynamics
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optimal stopping time
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Markov chain
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