A Finite Time Horizon Optimal Stopping Problem with Regime Switching
A Finite Time Horizon Optimal Stopping Problem with Regime Switching
复制标题
具有政权切换的有限时间范围最优停止问题
DOI：
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发表时间：
2010
期刊：
影响因子：
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通讯作者：
Chun Wang
中科院分区：
文献类型：
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作者：
Huiling Le;Chun Wang
我们将[E.Bayraktar，A Profect of the Finite Time Horizon American Up Option for Jump Diffulation，http://arxiv.org/abs/math/0703782,2007]中发展的技巧推广到一类包含美式看跌期权定价的制度切换模型下的有限时间水平最优停止问题。所涉及的构造还导致了这类最优停止问题的解的计算过程。
We extend the technique developed in [E. Bayraktar, A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusion, http://arxiv.org/abs/math/0703782, 2007] to a class of finite time horizonal optimal stopping problems under regime switching models which includes the pricing of American put options. The construction involved also leads to a computational procedure for the solutions of such optimal stopping problems.