Pages that link to "Item:Q2748440"
From MaRDI portal
The following pages link to An explicit solution to an optimal stopping problem with regime switching (Q2748440):
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)
- Pricing and managing risks of European-style options in a Markovian regime-switching binomial model (Q470671) (← links)
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process (Q470735) (← links)
- A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process'' (Q479189) (← links)
- Stock loan valuation under a regime-switching model with mean-reverting and finite maturity (Q601072) (← links)
- A viscosity solution method for optimal stopping problems with regime switching (Q829599) (← links)
- Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching (Q937465) (← links)
- On perpetual American put valuation and first-passage in a regime-switching model with jumps (Q1003346) (← links)
- Pricing exotic options in a regime switching economy: a Fourier transform method (Q1621619) (← links)
- Ergodicity and first passage probability of regime-switching geometric Brownian motions (Q1624097) (← links)
- Real options approach for fashionable and perishable products using stock loan with regime switching (Q1699173) (← links)
- A recursive algorithm for selling at the ultimate maximum in regime-switching models (Q1703034) (← links)
- Irreversible investment with regime shifts (Q1779806) (← links)
- Portfolio selection with jumps under regime switching (Q1958452) (← links)
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach (Q2015638) (← links)
- Structural pricing of CoCos and deposit insurance with regime switching and jumps (Q2036863) (← links)
- Default probability of American lookback option in a mixed jump-diffusion model (Q2067180) (← links)
- An optimal stopping problem for spectrally negative Markov additive processes (Q2145820) (← links)
- Optimal investment decision under switching regimes of subsidy support (Q2183316) (← links)
- First-passage times of regime switching models (Q2251701) (← links)
- Classical and singular stochastic control for the optimal dividend policy when there is regime switching (Q2276241) (← links)
- Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses (Q2307598) (← links)
- Optimal stopping with information constraint (Q2391931) (← links)
- Exit problems in regime-switching models (Q2469551) (← links)
- Russian and American put options under exponential phase-type Lévy models. (Q2574619) (← links)
- A useful extension of Itô's formula with applications to optimal stopping (Q2581206) (← links)
- Optimal stopping problem for jump-diffusion processes with regime-switching (Q2665293) (← links)
- Optimal stopping of switching diffusions with state dependent switching rates (Q2804561) (← links)
- Real options with priced regime-switching risk (Q2853377) (← links)
- Prepayment option of a perpetual corporate loan: the impact of the funding costs (Q2874734) (← links)
- SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL (Q2986670) (← links)
- A stochastic approximation algorithm for option pricing model calibration with a switchable market (Q3066992) (← links)
- A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process (Q3155280) (← links)
- Perpetual American vanilla option pricing under single regime change risk: an exhaustive study (Q3301076) (← links)
- Stopping at the maximum of geometric Brownian motion when signals are received (Q3367751) (← links)
- Optimal stopping games in models with various information flows (Q3383685) (← links)
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (Q3393971) (← links)
- Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models (Q3521273) (← links)
- A stochastic target formulation for optimal switching problems in finite horizon (Q3630058) (← links)
- Analytic value function for optimal regime-switching pairs trading rules (Q4554446) (← links)
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162) (← links)
- On the First Passage Time Under Regime-Switching with Jumps (Q4561943) (← links)
- VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK (Q4563742) (← links)
- ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY (Q4608109) (← links)
- Perpetual American options with fractional Brownian motion (Q4610216) (← links)
- Stochastic Integrals and Conditional Full Support (Q4933191) (← links)
- Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs (Q5022285) (← links)
- Discounted optimal stopping problems in continuous hidden Markov models (Q5086908) (← links)
- Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty (Q5108271) (← links)
