Valuation and optimal strategies for American options under a Markovian regime-switching model

DOI10.1007/978-3-031-17820-7_6MaRDI QIDQ6153207zbMATH OpenFDO

Authors Lu Jin, Marko Dimitrov, Ying Ni

Publication date 16 March 2024

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-031-17820-7_6

zbMATH Keywords

decision policyhidden Markov chainoptimal strategypartially observable Markov decision processtotally positive of order 2

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• A risk-based approach for pricing American options under a generalized Markov regime-switching model
• On a Markov chain approximation method for option pricing with regime switching
• An explicit analytic formula for pricing barrier options with regime switching
• Pricing exotic options under a high-order Markovian regime switching model
• Stochastic optimization algorithms for pricing American put options under regime-switching models

Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A simple approach for pricing equity options with Markov switching state variables
• A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES
• American-type options. Stochastic approximation methods. Volume 1
• American-type options. Stochastic approximation methods. Volume 2
• scientific article; zbMATH DE number 1284287 (Why is no real title available?)
• scientific article; zbMATH DE number 2169698 (Why is no real title available?)
• scientific article; zbMATH DE number 3348831 (Why is no real title available?)
• Inequalities: theory of majorization and its applications
• Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
• Structure of optimal stopping strategies for American type options
• THE DYNAMIC PRICING FOR CALLABLE SECURITIES WITH MARKOV-MODULATED PRICES

This page was built for publication: Valuation and optimal strategies for American options under a Markovian regime-switching model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6153207)