Valuation and optimal strategies for American options under a Markovian regime-switching model
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Publication:6153207
DOI10.1007/978-3-031-17820-7_6MaRDI QIDQ6153207FDOQ6153207
Authors: Lu Jin, Marko Dimitrov, Ying Ni 
Publication date: 16 March 2024
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
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Cites Work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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- Inequalities: theory of majorization and its applications
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- A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES
- American-type options. Stochastic approximation methods. Volume 2
- Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
- American-type options. Stochastic approximation methods. Volume 1
- A simple approach for pricing equity options with Markov switching state variables
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- Structure of optimal stopping strategies for American type options
- THE DYNAMIC PRICING FOR CALLABLE SECURITIES WITH MARKOV-MODULATED PRICES
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