A semi-analytic valuation of American options under a two-state regime-switching economy
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Publication:2164646
DOI10.1016/J.PHYSA.2019.122968OpenAlexW2978702408MaRDI QIDQ2164646FDOQ2164646
Authors: Xiaoping Lu, Endah R. M. Putri 
Publication date: 15 August 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=4303&context=eispapers1
Cites Work
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Cited In (6)
- Perpetual cancellable American options with convertible features
- A new approach for pricing discounted American options
- A deposit insurance pricing with a multi-state regime-switching volatility
- CTMC integral equation method for American options under stochastic local volatility models
- Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility
- Finite maturity American-style stock loans with regime-switching volatility
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