Pages that link to "Item:Q4830618"

The following pages link to Closed-Form Solutions for Perpetual American Put Options with Regime Switching (Q4830618):

Displaying 50 items.

• Valuation of the prepayment option of a perpetual corporate loan (Q370357) (← links)
• Perpetual American maximum options with Markov-modulated dynamics (Q392759) (← links)
• A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process'' (Q479189) (← links)
• Ergodicity of one-dimensional regime-switching diffusion processes (Q487511) (← links)
• 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)
• Asian option as a fixed-point (Q721236) (← 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)
• A viscosity solution method for optimal stopping problems with regime switching (Q829599) (← links)
• Computational methods for pricing American put options (Q850830) (← links)
• Stochastic optimization algorithms for pricing American put options under regime-switching models (Q868582) (← links)
• Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122) (← 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)
• Ergodicity and first passage probability of regime-switching geometric Brownian motions (Q1624097) (← links)
• Pricing external barrier options in a regime-switching model (Q1657586) (← links)
• Efficient lattice method for valuing of options with barrier in a regime switching model (Q1677719) (← links)
• Real options approach for fashionable and perishable products using stock loan with regime switching (Q1699173) (← links)
• Optimal dividend distribution under Markov regime switching (Q1761453) (← links)
• A new tree method for pricing financial derivatives in a regime-switching mean-reverting model (Q1926230) (← links)
• Default probability of American lookback option in a mixed jump-diffusion model (Q2067180) (← links)
• Computation of powered option prices under a general model for underlying asset dynamics (Q2074891) (← links)
• Nonzero-sum impulse games with regime switching (Q2081783) (← links)
• On subgeometric ergodicity of regime-switching diffusion processes (Q2085169) (← links)
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
• Hybrid optimal impulse control (Q2125528) (← links)
• Parallel search for information in continuous time -- optimal stopping and geometry of the PDE (Q2127692) (← links)
• The Dynkin game with regime switching and applications to pricing game options (Q2151666) (← links)
• A semi-analytic valuation of American options under a two-state regime-switching economy (Q2164646) (← links)
• Two-player zero-sum stochastic differential games with regime switching (Q2174009) (← links)
• Optimal investment decision under switching regimes of subsidy support (Q2183316) (← links)
• Asset liquidation under drift uncertainty and regime-switching volatility (Q2187329) (← links)
• A general stochastic maximum principle for mean-field controls with regime switching (Q2234325) (← links)
• Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest (Q2252244) (← links)
• Convergence rates of trinomial tree methods for option pricing under regime-switching models (Q2343665) (← links)
• Laplace transform methods for a free boundary problem of time-fractional partial differential equation system (Q2403902) (← links)
• Option pricing under regime-switching models: novel approaches removing path-dependence (Q2421406) (← links)
• Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales (Q2423287) (← links)
• A lattice method for option pricing with two underlying assets in the regime-switching model (Q2448349) (← links)
• Exit problems in regime-switching models (Q2469551) (← links)
• Monotonicity of the value function for a two-dimensional optimal stopping problem (Q2511558) (← links)
• Optimal exit strategies for investment projects (Q2512665) (← links)
• Ergodicity of regime-switching diffusions in Wasserstein distances (Q2512854) (← links)
• Optimal stopping problem for jump-diffusion processes with regime-switching (Q2665293) (← links)