American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
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Publication:3515079
DOI10.1002/MMA.984zbMATH Open1147.91035OpenAlexW2058240587MaRDI QIDQ3515079FDOQ3515079
Authors: Fahuai Yi 
Publication date: 24 July 2008
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.984
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Cites Work
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
- On the theory of option pricing
- On the pricing of American options
- Title not available (Why is that?)
- On optimal stopping and free boundary problems
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients
Cited In (16)
- On the regularity of American options with regime-switching uncertainty
- 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
- A semi-analytic valuation of American options under a two-state regime-switching economy
- American option model and negative Fichera function on degenerate boundary
- 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
- American put options with a finite set of exercisable time epochs
- A system of variational inequalities arising from finite expiry Russian option with two regimes
- Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options
- An integral equation approach for pricing American put options under regime-switching model
- A free boundary problem arising from a multi-state regime-switching stock trading model
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Projection and contraction method for the valuation of American options under regime switching
- Finite maturity American-style stock loans with regime-switching volatility
- The American put with finite‐time maturity and stochastic interest rate
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