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
Cited by 46 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. A generalized integral equation formulation for pricing American options under regime-switching model;Journal of Computational and Applied Mathematics;2025-01
2. Closed-Form Formula for the Conditional Moment-Generating Function Under a Regime-Switching, Nonlinear Drift CEV Process, with Applications to Option Pricing;Mathematics;2024-08-27
3. A Preconditioned Policy–Krylov Subspace Method for Fractional Partial Integro-Differential HJB Equations in Finance;Fractal and Fractional;2024-05-27
4. American put options with regime-switching volatility;Journal of Derivatives and Quantitative Studies: 선물연구;2024-04-19
5. Faster than FFT: Conformal accelerations method;IFAC-PapersOnLine;2024
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3