On the regularity of American options with regime-switching uncertainty
DOI10.1016/j.spa.2017.06.007zbMath1395.91521arXiv1309.1404OpenAlexW2571794164MaRDI QIDQ681986
Publication date: 13 February 2018
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.1404
Smoothness and regularity of solutions to PDEs (35B65) Sample path properties (60G17) Financial applications of other theories (91G80) Processes in random environments (60K37) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)
Related Items (6)
Cites Work
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