Perpetual American maximum options with Markov-modulated dynamics

DOI10.1007/s10986-011-9111-yzbMath1278.91170OpenAlexW2041693955MaRDI QIDQ392759

Yongqing Xu, Yan-Dong Wu

Publication date: 15 January 2014

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-011-9111-y

zbMATH Keywords

Markov chainoptimal stopping timeMarkov-modulated dynamicsperpetual options

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (2)

Valuation of the prepayment option of a perpetual corporate loan ⋮ PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS

Cites Work

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• Option pricing and Esscher transform under regime switching
• Stock Trading: An Optimal Selling Rule
• An explicit solution to an optimal stopping problem with regime switching
• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching

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