Closed-form solutions for perpetual American put options with regime switching

被引：146

作者：

Guo, X ^{[1
]}

Zhang, Q

机构：

[1] Cornell Univ, Sch ORIE, Ithaca, NY 14853 USA

[2] Univ Georgia, Dept Math, Athens, GA 30602 USA

来源：

SIAM JOURNAL ON APPLIED MATHEMATICS | 2004年 / 64卷 / 06期

关键词：

Markov chain; optimal stopping time; American options; regime switching; modified smooth fit principle;

D O I：

10.1137/S0036139903426083

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper studies an optimal stopping time problem for pricing perpetual American put options in a regime switching model. An explicit optimal stopping rule and the corresponding value function in a closed form are obtained using the "modified smooth fit" technique. The solution is then compared with the numerical results obtained via a dynamic programming approach and also with a two-point boundary-value differential equation (TPBVDE) method.

引用

页码：2034 / 2049

页数：16

共 50 条

[1] Perpetual American Put Options with Regime Switching
Shen, Xiaohua
PROCEEDINGS OF THE 2010 INTERNATIONAL CONFERENCE ON APPLICATION OF MATHEMATICS AND PHYSICS, VOL 2: ADVANCES ON APPLIED MATHEMATICS AND COMPUTATION MATHEMATICS, 2010, : 285 - 290
[2] The closed-form solution for pricing American put options
Wang, Xiaodong
ANNALS OF ECONOMICS AND FINANCE, 2007, 8 (01): : 197 - 216
[3] A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options
Yoon, Ji-Hun
Kim, Jeong-Hoon
APPLIED MATHEMATICS LETTERS, 2013, 26 (12) : 1146 - 1150
[4] Pricing the American options: A closed-form, simple formula
Alghalith, Moawia
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2020, 548 (548)
[5] Closed-form solution to a real option problem with regime switching
Nishihara, Michi
OPERATIONS RESEARCH LETTERS, 2020, 48 (06) : 703 - 707
[6] A Closed-Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity
He, Xin-Jiang
Chen, Hang
Lin, Sha
JOURNAL OF FUTURES MARKETS, 2025,
[7] Closed-form solutions to stochastic process switching problems
Francois, Pascal
Morellec, Erwan
JOURNAL OF MATHEMATICAL ECONOMICS, 2008, 44 (11) : 1072 - 1083
[8] A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model
Lin, Sha
He, Xin-Jiang
CHAOS SOLITONS & FRACTALS, 2021, 144
[9] A Quasi-Closed-Form Solution for the Valuation of American Put Options
Viegas, Cristina
Azevedo-Pereira, Jose
INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, 2020, 8 (04): : 1 - 18
[10] On perpetual American put valuation and first-passage in a regime-switching model with jumps
Jiang, Zhengjun
Pistorius, Martijn R.
FINANCE AND STOCHASTICS, 2008, 12 (03) : 331 - 355

← 1 2 3 4 5 →