Perpetual American Put Options with Regime Switching

被引：0

作者：

Shen, Xiaohua ^{[1
]}

机构：

[1] Tongji Univ, Dept Math, Shanghai 200092, Peoples R China

来源：

PROCEEDINGS OF THE 2010 INTERNATIONAL CONFERENCE ON APPLICATION OF MATHEMATICS AND PHYSICS, VOL 2: ADVANCES ON APPLIED MATHEMATICS AND COMPUTATION MATHEMATICS | 2010年

关键词：

American put option; optimal exercise boundary; free boundary; regime switching; BTM; optimal stopping time;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper studies a system of differential equations that arises in pricing perpetual American put options whose underlying asset switches between a finite number of states. We discuss several important properties about the value functions in theory. Furthermore, the relationship between the optimal exercise boundary for the value function and the corresponding volatility is obtained. To the end, we also experiment numerical computation to discuss the dependence of boundaries on the volatility and intensity.

引用

页码：285 / 290

页数：6

共 50 条

[1] Closed-form solutions for perpetual American put options with regime switching
Guo, X
Zhang, Q
SIAM JOURNAL ON APPLIED MATHEMATICS, 2004, 64 (06) : 2034 - 2049
[2] 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
[3] On perpetual American put valuation and first-passage in a regime-switching model with jumps
Zhengjun Jiang
Martijn R. Pistorius
Finance and Stochastics, 2008, 12 : 331 - 355
[4] Pricing Perpetual American Put Options with Asset-Dependent Discounting
Al-Hadad, Jonas
Palmowski, Zbigniew
JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2021, 14 (03)
[5] On the perpetual American put options for level dependent volatility models with jumps
Bayraktar, Erhan
QUANTITATIVE FINANCE, 2011, 11 (03) : 335 - 341
[6] Perpetual American put options in a level-dependent volatility model
Ekström, E
JOURNAL OF APPLIED PROBABILITY, 2003, 40 (03) : 783 - 789
[7] Pricing perpetual American catastrophe put options: A penalty function approach
Lin, X. Sheldon
Wang, Tao
INSURANCE MATHEMATICS & ECONOMICS, 2009, 44 (02): : 287 - 295
[8] Stochastic Optimization Algorithms for Pricing American Put Options Under Regime-Switching Models
G. Yin
J. W. Wang
Q. Zhang
Y. J. Liu
Journal of Optimization Theory and Applications, 2006, 131 : 37 - 52
[9] Stochastic optimization algorithms for pricing American put options under regime-switching models
Yin, G.
Wang, J. W.
Zhang, Q.
Liu, Y. J.
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2006, 131 (01) : 37 - 52
[10] An integral equation approach for pricing American put options under regime-switching model
Zhu, Song-Ping
Zheng, Yawen
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2023, 100 (07) : 1454 - 1479

← 1 2 3 4 5 →