On perpetual American put valuation and first-passage in a regime-switching model with jumps

DOI10.1007/s00780-008-0065-9zbMath1164.60066arXiv0803.2302MaRDI QIDQ1003346

Martijn R. Pistorius, Zhengjun Jiang

Publication date: 28 February 2009

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.2302

zbMATH Keywords

regime-switching; American put option; matrix Wiener-Hopf factorization; phase-type; first-passage problem

Mathematics Subject Classification ID

60K15: Markov renewal processes, semi-Markov processes

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