Computational methods for pricing American put options
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
- Stock trading: an optimal selling rule
- Valuing American options by simulation: a simple least-squares approach
Cited in
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- A viscosity solution method for optimal stopping problems with regime switching
- From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes
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- A simple numerical method for pricing an American put option
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