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

被引：147

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 27 条

[1]

[Anonymous], 1969, Probability and Mathematical Statistics

[2]

[Anonymous], STAT RANDOM PROCESSE

[3] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].