On perpetual American put valuation and first-passage in a regime-switching model with jumps
| Year of publication: |
2008
|
|---|---|
| Authors: | Jiang, Zhengjun ; Pistorius, Martijn |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 12.2008, 3, p. 331-355
|
| Publisher: |
Springer |
| Subject: | American put option | Matrix Wiener–Hopf factorization | Phase-type | Regime-switching | First-passage problem |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005759637