An Exact Formula for Pricing American Exchange Options with Regime Switching

DOI10.1007/978-1-4899-7442-6_9zbMath1418.91506OpenAlexW188582737MaRDI QIDQ4562482

Leunglung Chan

Publication date: 21 December 2018

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4899-7442-6_9

zbMATH Keywords

continuous-time hidden Markov processpricing of American exchange options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Uses Software

• BVPh

Cites Work

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