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

被引：0

作者：

Zhengjun Jiang

Martijn R. Pistorius

机构：

[1] King’s College London,Department of Mathematics

[2] Nanjing University of Finance and Economics,School of Finance

来源：

Finance and Stochastics | 2008年 / 12卷

关键词：

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

D O I：

暂无

中图分类号：

学科分类号：

摘要：

In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching Lévy model. For the case of the (dense) class of phase-type jumps and finitely many regimes we derive an explicit expression for the value function. The solution of the corresponding first-passage problem under a state-dependent level rests on a path transformation and a new matrix Wiener–Hopf factorization result for this class of processes.

引用

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页码：331 / 355

页数：24

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