Closed-Form Solutions for Perpetual American Put Options with Regime Switching
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Publication:4830618
DOI10.1137/S0036139903426083zbMath1061.90082OpenAlexW2053604117MaRDI QIDQ4830618
Publication date: 13 December 2004
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036139903426083
Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Continuous-time Markov processes on discrete state spaces (60J27)
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