THE DYNAMIC PRICING FOR CALLABLE SECURITIES WITH MARKOV-MODULATED PRICES

DOI10.15807/JORSJ.57.87zbMath1323.91044OpenAlexW288019195MaRDI QIDQ5250528

Kimitoshi Sato, Katsushige Sawaki

Publication date: 21 May 2015

Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15807/jorsj.57.87

zbMATH Keywords

fixed pointoptimal stoppingMarkov chainrandom environmentfinancegame optioncallable securities

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

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