Exit problems in regime-switching models
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Publication:2469551
DOI10.1016/j.jmateco.2007.07.001zbMath1151.91485OpenAlexW3123816338MaRDI QIDQ2469551
Svetlana Boyarchenko, Sergei Levendorskii
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
Related Items (9)
Pricing exotic options in a regime switching economy: a Fourier transform method ⋮ A viscosity solution method for optimal stopping problems with regime switching ⋮ American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations ⋮ Optimal stopping with information constraint ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ Perpetual American vanilla option pricing under single regime change risk: an exhaustive study ⋮ First-passage times of regime switching models ⋮ Optimal dividend distribution under Markov regime switching ⋮ The impact of negative interest rates on optimal capital injections
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