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
收藏
页码：285 / 290
页数：6
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