Perpetual American Put Options with Regime Switching

摘要：

This paper studies a system of differential equations that arises in pricing perpetual American put options whose underlying asset switches between a finite number of states. We discuss several important properties about the value functions in theory. Furthermore, the relationship between the optimal exercise boundary for the value function and the corresponding volatility is obtained. To the end, we also experiment numerical computation to discuss the dependence of boundaries on the volatility and intensity.

关键词： American put option optimal exercise boundary free boundary regime switching BTM optimal stopping time

作者: Xiaohua Shen

作者单位: Department of Mathematics, Tongji University, Shanghai 200092, China

会议类型: 国际会议

会议名称: 2010 International Conference on Application of Mathematics and Physics(2010国际数理科学与气象学术研讨会暨2010空间天气学研讨会 AMP2010)

会议地点: 南京

会议语种:英文

页码: 653-658

在线出版日期: 2010-05-08（万方平台首次上网日期，不代表论文的发表时间）