On the regularity of American options with regime-switching uncertainty

DOI10.1016/j.spa.2017.06.007zbMath1395.91521arXiv1309.1404OpenAlexW2571794164MaRDI QIDQ681986

Adriana Ocejo, S. D. Jacka

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

zbMATH Keywords

initial-boundary value problemMarkov-modulatedcouplingAmerican optionregime-switchingtime-change

Mathematics Subject Classification ID

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)

General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ On Itô's formula for semimartingales with jumps and non-\(\mathcal{C}^2\) functions ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms ⋮ Optimal selling strategies under regime-switching market environment with finite expiry ⋮ Asian option as a fixed-point

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