PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION

DOI10.1142/S0219024911006450zbMath1236.91131MaRDI QIDQ5389107

Pavel V. Gapeev

Publication date: 24 April 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

hidden Markov chain; diffusion process; innovation process; perpetual American option; stochastic boundary; change-of-variable formula with local time on surfaces; filtering estimate; parabolic-type free-boundary problem; stochastic dividend rate; discounted two-dimensional optimal stopping problem

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Optimal Liquidation of an Asset under Drift Uncertainty

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On perpetual American put valuation and first-passage in a regime-switching model with jumps
• Whether to sell or hold a stock
• PRICING AND FILTERING IN A TWO-DIMENSIONAL DIVIDEND SWITCHING MODEL
• On the sequential testing problem for some diffusion processes
• Efficient Pricing of Derivatives on Assets with Discrete Dividends
• Option Pricing With Markov-Modulated Dynamics
• INFORMATION-BASED ASSET PRICING
• Optimal selling rules in a regime switching model
• The Term Structure of Interest Rates in a Hidden Markov Setting
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes