共查询到1条相似文献,搜索用时 0 毫秒
1.
A risk-based approach for pricing American options under a generalized Markov regime-switching model
This paper considers a risk-based approach for pricing an American contingent claim in an incomplete market described by a continuous-time, Markov, regime-switching jump-diffusion model. We formulate the valuation problem as a stochastic differential game and use dynamic programming. Verification theorems for the Hamilton–Jacobi–Bellman–Issacs (HJBI) variational inequalities of the games are used to determine the seller's and buyer's prices and optimal exercise strategies. 相似文献