PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION
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Publication:5389107
DOI10.1142/S0219024911006450zbMath1236.91131MaRDI QIDQ5389107
Publication date: 24 April 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024911006450
hidden Markov chain; diffusion process; innovation process; perpetual American option; stochastic boundary; change-of-variable formula with local time on surfaces; filtering estimate; parabolic-type free-boundary problem; stochastic dividend rate; discounted two-dimensional optimal stopping problem
91G20: Derivative securities (option pricing, hedging, etc.)
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Dynkin Games with Incomplete and Asymmetric Information, Discounted optimal stopping problems in continuous hidden Markov models, Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point, AMERICAN OPTIONS AND INCOMPLETE INFORMATION, With or without replacement? Sampling uncertainty in Shepp’s urn scheme, Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach, Asset liquidation under drift uncertainty and regime-switching volatility, Optimal entry decision of unemployment insurance under partial information, Optimal Liquidation of an Asset under Drift Uncertainty, Optimal stopping games in models with various information flows
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