Artikel
An analytic approach for pricing American options with regime switching
This paper investigates the American option price in a two-state regime-switching model. The dynamics of underlying are driven by a Markov-modulated Geometric Wiener process. That means the interest rate, the appreciation rate, and the volatility of underlying rely on hidden states of the economy which can be interpreted in terms of Markov chains. By means of the homotopy analysis method, an explicit formula for pricing two-state regime-switching American options is presented.
- Sprache
-
Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 5 ; Pages: 1-20 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
free boundary problem
homotopy analysis method
option pricing
regime switching
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chan, Leunglung
Zhu, Song-Ping
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
-
Basel
- (wann)
-
2021
- DOI
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doi:10.3390/jrfm14050188
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Chan, Leunglung
- Zhu, Song-Ping
- MDPI
Entstanden
- 2021
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