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

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  • Zhengjun Jiang
  • Martijn Pistorius

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  • Zhengjun Jiang & Martijn Pistorius, 2008. "On perpetual American put valuation and first-passage in a regime-switching model with jumps," Finance and Stochastics, Springer, vol. 12(3), pages 331-355, July.
    • Handle: RePEc:spr:finsto:v:12:y:2008:i:3:p:331-355
    DOI: 10.1007/s00780-008-0065-9
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    References listed on IDEAS

    as
    1. Carr, Peter, 1998. "Randomization and the American Put," The Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.
    2. Hans Gerber & Elias Shiu, 1998. "On the Time Value of Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 48-72.
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    More about this item

    Keywords

    American put option; Matrix Wiener–Hopf factorization; Phase-type; Regime-switching; First-passage problem; G13; 60K15; 90A09;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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