Pages that link to "Item:Q4830618"
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The following pages link to Closed-Form Solutions for Perpetual American Put Options with Regime Switching (Q4830618):
Displayed 19 items.
- Mixture dynamics and regime switching diffusions with application to option pricing (Q539521) (← links)
- A numerical analysis of American options with regime switching (Q618604) (← links)
- A Markov-modulated model for stocks paying discrete dividends (Q659087) (← links)
- Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching (Q718385) (← links)
- Explicit solutions to European options in a regime-switching economy (Q813961) (← links)
- Fair valuation of participating policies with surrender options and regime switching (Q817287) (← links)
- Computational methods for pricing American put options (Q850830) (← links)
- Stochastic optimization algorithms for pricing American put options under regime-switching models (Q868582) (← links)
- Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching (Q937465) (← links)
- Option pricing in a regime-switching model using the fast Fourier transform (Q937475) (← links)
- Optimal mortgage refinancing with regime switches (Q945043) (← links)
- On perpetual American put valuation and first-passage in a regime-switching model with jumps (Q1003346) (← links)
- Asymptotic analysis of option pricing in a Markov modulated market (Q1043251) (← links)
- Optimal dividend distribution under Markov regime switching (Q1761453) (← links)
- Exit problems in regime-switching models (Q2469551) (← links)
- A Stochastic Approximation Algorithm for American Lookback Put Options (Q3168708) (← links)
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (Q3393971) (← links)
- American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach (Q3515079) (← links)
- Double barrier option under regime-switching exponential mean-reverting process (Q3636733) (← links)