On perpetual American put valuation and first-passage in a regime-switching model with jumps
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 12 (2008)
Issue (Month): 3 (July)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- 60K - - - - - -
- 90A - - - - - -
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Carr, Peter, 1998. "Randomization and the American Put," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.
- D’Auria, Bernardo & Kella, Offer, 2012. "Markov modulation of a two-sided reflected Brownian motion with application to fluid queues," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1566-1581.
- Aleksandar Mijatovi\'c & Martijn Pistorius, 2009. "Exotic derivatives under stochastic volatility models with jumps," Papers 0912.2595, arXiv.org, revised Oct 2010.
- Zhengjun Jiang & Martijn Pistorius, 2008. "Optimal dividend distribution under Markov-regime switching," Papers 0812.4978, arXiv.org, revised Apr 2011.
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