On perpetual American put valuation and first-passage in a regime-switching model with jumps
From MaRDI portal
Publication:1003346
DOI10.1007/s00780-008-0065-9zbMath1164.60066arXiv0803.2302OpenAlexW2136718835MaRDI QIDQ1003346
Martijn R. Pistorius, Zhengjun Jiang
Publication date: 28 February 2009
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0803.2302
Related Items
How do capital structure and economic regime affect fair prices of bank's equity and liabilities? ⋮ Pricing exotic options in a regime switching economy: a Fourier transform method ⋮ Exit Problems for Reflected Markov-Modulated Brownian Motion ⋮ FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS ⋮ Occupation Times for Markov-Modulated Brownian Motion ⋮ The Resolvent and Expected Local Times for Markov-Modulated Brownian Motion with Phase-Dependent Termination Rates ⋮ Total shift during the first passages of Markov-modulated Brownian motion with bilateral ph-type jumps: Formulas driven by the minimal solution matrix of a Riccati equation ⋮ Optimal stopping with information constraint ⋮ On the First Passage Time Under Regime-Switching with Jumps ⋮ Pricing external barrier options in a regime-switching model ⋮ VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK ⋮ Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models ⋮ Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application ⋮ Lévy Processes, Phase-Type Distributions, and Martingales ⋮ Discounted optimal stopping problems in continuous hidden Markov models ⋮ SIR epidemics with stochastic infectious periods ⋮ Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications ⋮ Threshold dividend strategies for a Markov-additive risk model ⋮ Wiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility ⋮ Exponential change of measure for general piecewise deterministic Markov processes ⋮ DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ Markov modulation of a two-sided reflected Brownian motion with application to fluid queues ⋮ ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY ⋮ The maximum severity of ruin in a perturbed risk process with Markovian arrivals ⋮ Occupation densities in solving exit problems for Markov additive processes and their reflections ⋮ PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION ⋮ Unnamed Item ⋮ A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process ⋮ Perpetual American vanilla option pricing under single regime change risk: an exhaustive study ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps ⋮ First-passage times of regime switching models ⋮ Optimal dividend distribution under Markov regime switching ⋮ PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL ⋮ A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options ⋮ Structural pricing of CoCos and deposit insurance with regime switching and jumps ⋮ The impact of negative interest rates on optimal capital injections ⋮ Ergodic control of diffusions with random intervention times ⋮ On barrier option pricing by Erlangization in a regime-switching model with jumps ⋮ On the lack of memory for distributions of overshoot functionals in the case of upper almost semicontinuous processes defined on a Markov chain ⋮ Optimal stopping games in models with various information flows ⋮ Regime Classification and Stock Loan Valuation ⋮ Explicit Computations for Some Markov Modulated Counting Processes ⋮ A self-exciting switching jump diffusion: properties, calibration and hitting time ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk ⋮ Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Jump-Diffusion Model for Option Pricing
- On the theory of option pricing
- On the pricing of American options
- Phase-type representations in random walk and queueing problems
- Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
- Processes of normal inverse Gaussian type
- A technique for exponential change of measure for Markov processes
- Hyperbolic distributions in finance
- Russian and American put options under exponential phase-type Lévy models.
- An explicit solution to an optimal stopping problem with regime switching
- Option Pricing With Markov-Modulated Dynamics
- A multi-dimensional martingale for Markov additive processes and its applications
- Perpetual American Options Under Lévy Processes
- Financial Modelling with Jump Processes
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Randomization and the American Put
- On the Time Value of Ruin
