American Options in Regime-Switching Models
From MaRDI portal
Publication:3566967
DOI10.1137/070682897zbMath1195.60112OpenAlexW3124996638MaRDI QIDQ3566967
Svetlana Boyarchenko, Sergei Levendorskii
Publication date: 10 June 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/070682897
Lévy processesoptimal stoppingregime switchingAmerican optionsstochastic volatility modelsstochastic interest rate models
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (23)
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS ⋮ American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations ⋮ A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models ⋮ Lévy Processes, Phase-Type Distributions, and Martingales ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ Optimal stopping and impulse control in the presence of an anticipated regime switch ⋮ Iterative weak approximation and hard bounds for switching diffusion ⋮ An integral equation approach for pricing American put options under regime-switching model ⋮ Real options approach for fashionable and perishable products using stock loan with regime switching ⋮ On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes ⋮ American options: the EPV pricing model ⋮ Efficient pricing of swing options in Lévy-driven models ⋮ Optimal selling strategies under regime-switching market environment with finite expiry ⋮ Probabilistic models of the conservation and balance laws in switching regimes ⋮ A switching self-exciting jump diffusion process for stock prices ⋮ Fast and accurate pricing of barrier options under Lévy processes ⋮ On infinite horizon optimal stopping of general random walk ⋮ Probabilistic approach to free boundary problems and pricing of American options ⋮ Pricing American options under multi-state regime switching with an efficientL- stable method ⋮ Kac-Lévy processes ⋮ A self-exciting switching jump diffusion: properties, calibration and hitting time ⋮ DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS ⋮ Pricing and hedging performance on pegged FX markets based on a regime switching model
This page was built for publication: American Options in Regime-Switching Models
