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

Article, Preprint English OPEN
Jiang, Z.; Pistorius, M. R.;
(2008)
  • Publisher: SPRINGER HEIDELBERG
  • Related identifiers: doi: 10.1007/s00780-008-0065-9
  • Subject: 60K15, 90A09 | Quantitative Finance - Pricing of Securities | Mathematics - Probability

In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching L\'{e}vy 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. T... View more
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