Valuation and optimal strategies for American options under a Markovian regime-switching model

DOI10.1007/978-3-031-17820-7_6MaRDI QIDQ6153207

Ying Ni, Lu Jin, Marko Dimitrov

Publication date: 16 March 2024

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

zbMATH Keywords

optimal strategyhidden Markov chainpartially observable Markov decision processtotally positive of order 2decision policy

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• American-type options. Stochastic approximation methods. Volume 1
• American-type options. Stochastic approximation methods. Volume 2
• Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES
• THE DYNAMIC PRICING FOR CALLABLE SECURITIES WITH MARKOV-MODULATED PRICES
• A simple approach for pricing equity options with Markov switching state variables
• Inequalities: theory of majorization and its applications
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