American Options in Regime-Switching Models
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/070682897
Reference22 articles.
1. Some remarks on first passage of Lévy processes, the American put and pasting principles
2. Russian and American put options under exponential phase-type Lévy models
3. Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
4. Empirical Performance of Alternative Option Pricing Models
5. Irreversible Decisions and Record-Setting News Principles
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