PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION
From MaRDI portal
Publication:5389107
DOI10.1142/S0219024911006450zbMath1236.91131OpenAlexW3020860551MaRDI QIDQ5389107
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
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
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
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- Whether to sell or hold a stock
- PRICING AND FILTERING IN A TWO-DIMENSIONAL DIVIDEND SWITCHING MODEL
- On the sequential testing problem for some diffusion processes
- Efficient Pricing of Derivatives on Assets with Discrete Dividends
- 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
This page was built for publication: PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION
