PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION

DOI10.1142/S0219024911006450zbMath1236.91131MaRDI QIDQ5389107

Pavel V. Gapeev

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

zbMATH Keywords

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

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

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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