THE DYNAMIC PRICING FOR CALLABLE SECURITIES WITH MARKOV-MODULATED PRICES

DOI10.15807/JORSJ.57.87MaRDI QIDQ5250528zbMATH OpenOpenAlexFDO

Authors Kimitoshi Sato, Katsushige Sawaki

Publication date 21 May 2015

Published in Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15807/jorsj.57.87

zbMATH Keywords

callable securitiesfinancefixed pointgame optionMarkov chainoptimal stoppingrandom environment

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

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(6)

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• Valuation and optimal strategies for American options under a Markovian regime-switching model
• The pricing and optimal strategies of callable warrants

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