Regime classification and stock loan valuation

DOI10.1287/OPRE.2019.1934MaRDI QIDQ3387947zbMATH OpenOpenAlexFDO

Authors Ning Cai, Wei Zhang

Publication date 8 January 2021

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.2019.1934

zbMATH Keywords

optimal stopping timesperpetual American optionsregime classificationregime-switching exponential Lévy modelsregime-switching phase-type jump diffusion modelsstock loans

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Finite maturity American-style stock loans with regime-switching volatility
• Valuation of stock loans with regime switching
• American options in regime-switching models
• Valuation of stock loans using exponential phase-type Lévy models
• Exit problems in regime-switching models

Cites work

• A jump-diffusion model for option pricing
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• First passage times of a jump diffusion process
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 5172394 (Why is no real title available?)
• scientific article; zbMATH DE number 6283558 (Why is no real title available?)
• International reserve management: a drift-switching reflected jump-diffusion model
• On perpetual American put valuation and first-passage in a regime-switching model with jumps
• Optimal stopping and perpetual options for Lévy processes
• Option Pricing With Markov-Modulated Dynamics
• Russian and American put options under exponential phase-type Lévy models.
• STOCK LOANS
• Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
• Valuation of stock loans with jump risk

Cited in

(4)

• Real options approach for fashionable and perishable products using stock loan with regime switching
• Exit problems in regime-switching models
• Finite maturity American-style stock loans with regime-switching volatility
• Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps

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