American option prices in a Markov chain market model

DOI10.1002/asmb.893zbMath1286.91143OpenAlexW1997696130MaRDI QIDQ5414495

John van der Hoek, Robert J. Elliott

Publication date: 6 May 2014

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.893

zbMATH Keywords

capacitor lifetimeLED lightingoffline LED driverPFC pre-regulatorSaigal's Lemma

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

Stochastic linear quadratic control problem of switching systems with constraints ⋮ An optimal mean-reversion trading rule under a Markov chain model ⋮ Default Times in a Continuous Time Markov Chain Economy ⋮ Explicit solutions for an optimal stock selling problem under a Markov chain model ⋮ Integration by parts and martingale representation for a Markov chain ⋮ Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions ⋮ On a Markov chain approximation method for option pricing with regime switching ⋮ Applying a Markov chain for the stock pricing of a novel forecasting model ⋮ On anticipated backward stochastic differential equations with Markov chain noise ⋮ A Note on Differentiability in a Markov Chain Market Using Stochastic Flows

Cites Work

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• An alternative approach to the valuation of American options and applications
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• Front-tracking finite difference methods for the valuation of American options
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• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Functional Analysis
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing: A simplified approach

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