On perpetual American put valuation and first-passage in a regime-switching model with jumps

doi:10.1007/s00780-008-0065-9

科研成果详情

发表状态	已发表Published
题名	On perpetual American put valuation and first-passage in a regime-switching model with jumps
作者	Jiang, Zhengjun1,2 ; Pistorius, Martijn R.1
发表日期	2008
发表期刊	Finance and Stochastics
ISSN/eISSN	0949-2984
卷号	12 期号:3 页码:331-355
摘要	In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching Lévy model. For the case of the (dense) class of phase-type jumps and finitely many regimes we derive an explicit expression for the value function. The solution of the corresponding first-passage problem under a state-dependent level rests on a path transformation and a new matrix Wiener-Hopf factorization result for this class of processes. © 2008 Springer-Verlag.
关键词	American put option First-passage problem Matrix Wiener-Hopf factorization Phase-type Regime-switching
DOI	10.1007/s00780-008-0065-9
URL	查看来源
收录类别	SCIE ; SSCI
语种	英语English
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Business, Finance ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS记录号	WOS:000256474000003
Scopus入藏号	2-s2.0-85007285712
引用统计	被引频次：62[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/7943
专题	个人在本单位外知识产出理工科技学院
通讯作者	Pistorius, Martijn R.
作者单位	1.Department of Mathematics,King's College London,Strand,London WC2R 2LS,United Kingdom 2.School of Finance,Nanjing University of Finance and Economics,Nanjing 210046,China
推荐引用方式 GB/T 7714	Jiang, Zhengjun,Pistorius, Martijn R. On perpetual American put valuation and first-passage in a regime-switching model with jumps[J]. Finance and Stochastics, 2008, 12(3): 331-355.
APA	Jiang, Zhengjun, & Pistorius, Martijn R. (2008). On perpetual American put valuation and first-passage in a regime-switching model with jumps. Finance and Stochastics, 12(3), 331-355.
MLA	Jiang, Zhengjun,et al."On perpetual American put valuation and first-passage in a regime-switching model with jumps". Finance and Stochastics 12.3(2008): 331-355.