American options in regime-switching models
DOI10.1137/070682897zbMATH Open1195.60112OpenAlexW3124996638MaRDI QIDQ3566967FDOQ3566967
Authors: Svetlana Boyarchenko, Sergei Levendorskiĭ 
Publication date: 10 June 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/070682897
Recommendations
regime switchingoptimal stoppingAmerican optionsstochastic volatility modelsstochastic interest rate modelsLévy processes
Numerical analysis or methods applied to Markov chains (65C40) Derivative securities (option pricing, hedging, etc.) (91G20) Management decision making, including multiple objectives (90B50) Stochastic models in economics (91B70) Optimal stochastic control (93E20)
Cited In (50)
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- Option pricing under regime switching
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- Option valuation under a regime-switching constant elasticity of variance process
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- Methods for pricing American options under regime switching
- A switching self-exciting jump diffusion process for stock prices
- Iterative weak approximation and hard bounds for switching diffusion
- Markov regime-switching Heston model with CIR model framework and pricing VIX and S\&P500 American put option
- Probabilistic models of the conservation and balance laws in switching regimes
- A risk-based approach for pricing American options under a generalized Markov regime-switching model
- An exact formula for pricing American exchange options with regime switching
- Optimal selling strategies under regime-switching market environment with finite expiry
- A generalized integral equation formulation for pricing American options under regime-switching model
- Probabilistic approach to free boundary problems and pricing of American options
- Pricing and hedging performance on pegged FX markets based on a regime switching model
- A self-exciting switching jump diffusion: properties, calibration and hitting time
- Lévy processes, phase-type distributions, and martingales
- Fast and accurate pricing of barrier options under Lévy processes
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- Russian and American put options under exponential phase-type Lévy models.
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- American option pricing under financial crisis
- Regime classification and stock loan valuation
- On infinite horizon optimal stopping of general random walk
- Exit problems in regime-switching models
- American options in Lévy models with stochastic interest rates
- A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
- Option Pricing With Markov-Modulated Dynamics
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
- A numerical analysis of American options with regime switching
- Optimal stopping and impulse control in the presence of an anticipated regime switch
- Efficient evaluation of double-barrier options
- Pricing American options under multi-state regime switching with an efficient \(L\)-stable method
- Efficient pricing of swing options in Lévy-driven models
- Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
- Kac-Lévy processes
- American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
- An integral equation approach for pricing American put options under regime-switching model
- American options: the EPV pricing model
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- AMERICAN OPTIONS WITH REGIME SWITCHING
- A finite time horizon optimal stopping problem with regime switching
- American options in the Heston model with stochastic interest rate and its generalizations
- Double barrier options in regime-switching hyper-exponential jump-diffusion models
- On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes
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- Real options approach for fashionable and perishable products using stock loan with regime switching
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
- Modeling and computation for stochastic optimal regime switching
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