American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
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Publication:3515079
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Cites work
- scientific article; zbMATH DE number 3125480 (Why is no real title available?)
- scientific article; zbMATH DE number 2233868 (Why is no real title available?)
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- On optimal stopping and free boundary problems
- On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients
- On the pricing of American options
- On the theory of option pricing
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- The pricing of options and corporate liabilities
Cited in
(16)- Primal-dual active set algorithm for valuating American options under regime switching
- A generalized integral equation formulation for pricing American options under regime-switching model
- An integral equation approach for pricing American put options under regime-switching model
- Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options
- The American put with finite‐time maturity and stochastic interest rate
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- A viscosity solution method for optimal stopping problems with regime switching
- A front-fixing finite element method for the valuation of American options with regime switching
- Projection and contraction method for the valuation of American options under regime switching
- American put options with a finite set of exercisable time epochs
- On the regularity of American options with regime-switching uncertainty
- A semi-analytic valuation of American options under a two-state regime-switching economy
- A free boundary problem arising from a multi-state regime-switching stock trading model
- American option model and negative Fichera function on degenerate boundary
- Finite maturity American-style stock loans with regime-switching volatility
- A system of variational inequalities arising from finite expiry Russian option with two regimes
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