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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

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  • Martijn Pistorius

    ()

Abstract

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Suggested Citation

  • 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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    File URL: http://hdl.handle.net/10.1007/s00780-008-0065-9
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    References listed on IDEAS

    as
    1. Carr, Peter, 1998. "Randomization and the American Put," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.
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    Cited by:

    1. 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.
    2. Zhengjun Jiang & Martijn Pistorius, 2008. "Optimal dividend distribution under Markov-regime switching," Papers 0812.4978, arXiv.org, revised Apr 2011.
    3. Hieber, Peter, 2017. "Cliquet-style return guarantees in a regime switching Lévy model," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 138-147.
    4. Aleksandar Mijatovi'c & Martijn Pistorius, 2009. "Exotic derivatives under stochastic volatility models with jumps," Papers 0912.2595, arXiv.org, revised Oct 2010.
    5. Li, Shuanming & Ren, Jiandong, 2013. "The maximum severity of ruin in a perturbed risk process with Markovian arrivals," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 993-998.
    6. Zhengjun Jiang & Martijn Pistorius, 2012. "Optimal dividend distribution under Markov regime switching," Finance and Stochastics, Springer, vol. 16(3), pages 449-476, July.
    7. Julia Eisenberg & Paul Kruhner, 2016. "The Impact of Negative Interest Rates on Optimal Capital Injections," Papers 1612.06654, arXiv.org.

    More about this item

    Keywords

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

    JEL classification:

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

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