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An analytical solution for the HJB equation arising from the Merton problem
Zhu, Song-Ping; Ma, Guiyuan - In: International journal of financial engineering 5 (2018) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10011922966
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An analytic approach for pricing American options with regime switching
Chan, Leunglung; Zhu, Song-Ping - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-20
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...
Persistent link: https://www.econbiz.de/10012611745
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An analytic formula for pricing American-style convertible bonds in a regime switching model
Chan, Leunglung; Zhu, Song-Ping - In: IMA journal of management mathematics 26 (2015) 4, pp. 402-428
Persistent link: https://www.econbiz.de/10011515674
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An analytic approach for pricing American options with regime switching
Chan, Leunglung; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-20
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...
Persistent link: https://www.econbiz.de/10012533592