Closed-Form Solutions for Perpetual American Put Options with Regime Switching
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Publication:4830618
DOI10.1137/S0036139903426083zbMath1061.90082MaRDI QIDQ4830618
Publication date: 13 December 2004
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
regime switching; Markov chain; American options; optimal stopping time; modified smooth fit principle
91G60: Numerical methods (including Monte Carlo methods)
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
90C39: Dynamic programming
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
60J27: Continuous-time Markov processes on discrete state spaces
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