Exit problems in regime-switching models

DOI10.1016/J.JMATECO.2007.07.001MaRDI QIDQ2469551zbMATH OpenOpenAlexFDO

Authors Svetlana Boyarchenko, Sergei Levendorskiĭ

Publication date 6 February 2008

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2007.07.001

zbMATH Keywords

exit problemsLévy processesoptimal stoppingreal optionsregime switching

Mathematics Subject Classification ID

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

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Cited in

(12)

• Pricing exotic options in a regime switching economy: a Fourier transform method
• Optimal dividend distribution under Markov regime switching
• The impact of negative interest rates on optimal capital injections
• First-passage times of regime switching models
• Optimal stopping with information constraint
• American options in the Heston model with stochastic interest rate and its generalizations
• Perpetual American vanilla option pricing under single regime change risk: an exhaustive study
• Regime classification and stock loan valuation
• American options in regime-switching models
• A transform-based method for pricing Asian options under general two-dimensional models
• Efficient evaluation of double-barrier options
• A viscosity solution method for optimal stopping problems with regime switching

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