Stochastic optimization algorithms for pricing American put options under regime-switching models
type: Item
instance of: scholarly article
title: Stochastic optimization algorithms for pricing American put options under regime-switching models
zbMATH Open document ID: 1109.91362
author: N. E. Zubov
published in: Journal of Optimization Theory and Applications
publication date: 2007-03-06T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 93E03
zbMATH DE Number: 5131175
zbMATH Keywords: Markov-modulated stochastic optimization
MaRDI profile type: Publication
full work available at URL: s10957-006-9134-4
OpenAlex ID: W2030912703
cites work: Closed-Form Solutions for Perpetual American Put Options with Regime Switching
cites work: AMERICAN OPTIONS WITH REGIME SWITCHING
cites work: Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
cites work: Q4433608
cites work: Q4421713
DOI: 10.1007/S10957-006-9134-4
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description: scientific article; zbMATH DE number 5131175