Closed-Form Solutions for Perpetual American Put Options with Regime Switching (Q4830618)
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scientific article; zbMATH DE number 2121995
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Closed-Form Solutions for Perpetual American Put Options with Regime Switching |
scientific article; zbMATH DE number 2121995 |
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Closed-Form Solutions for Perpetual American Put Options with Regime Switching (English)
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13 December 2004
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Markov chain
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optimal stopping time
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American options
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regime switching
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modified smooth fit principle
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