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JIANG Zhengjun
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American put option
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First-passage problem
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Matrix Wiener-Hopf factoriz...
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Regime-switching
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Finance and Stochastics
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On perpetual American put valuation and first-passage in a regime-switching model with jumps
Journal article
Finance and Stochastics,2008, volume: 12, issue: 3, pages: 331-355
Authors:
Jiang, Zhengjun
;
Pistorius, Martijn R.
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Submit date：2022/02/15
American put option
First-passage problem
Matrix Wiener-Hopf factorization
Phase-type
Regime-switching
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