PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION

DOI10.1142/S0219024911006450zbMath1236.91131OpenAlexW3020860551MaRDI QIDQ5389107

Pavel V. Gapeev

Publication date: 24 April 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006450

zbMATH Keywords

hidden Markov chaindiffusion processinnovation processperpetual American optionstochastic boundarychange-of-variable formula with local time on surfacesfiltering estimateparabolic-type free-boundary problemstochastic dividend ratediscounted two-dimensional optimal stopping problem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach ⋮ Dynkin Games with Incomplete and Asymmetric Information ⋮ Discounted optimal stopping problems in continuous hidden Markov models ⋮ Asset liquidation under drift uncertainty and regime-switching volatility ⋮ With or without replacement? Sampling uncertainty in Shepp’s urn scheme ⋮ Optimal entry decision of unemployment insurance under partial information ⋮ Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point ⋮ Optimal Liquidation of an Asset under Drift Uncertainty ⋮ Optimal stopping games in models with various information flows ⋮ AMERICAN OPTIONS AND INCOMPLETE INFORMATION

Cites Work

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• Option Pricing With Markov-Modulated Dynamics
• INFORMATION-BASED ASSET PRICING
• Optimal selling rules in a regime switching model
• The Term Structure of Interest Rates in a Hidden Markov Setting
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes

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