Adelaide Research & Scholarship
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https://hdl.handle.net/2440/461
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| Type: | Journal article |
| Title: | American options with regime switching |
| Author: | Buffington, J. Elliott, R. |
| Citation: | International Journal of Theoretical and Applied Finance, 2002; 5(5):497-514 |
| Publisher: | World Scientific Publishing Co Pte Ltd |
| Issue Date: | 2002 |
| ISSN: | 0219-0249 1793-6322 |
| Statement of Responsibility: | John Buffington; Robert J. Elliott |
| Abstract: | A Black-Scholes market is considered in which the underlying economy, as modeled by the parameters and volatility of the processes, switches between a nite number of states. The switching is modeled by a hidden Markov chain. European options are priced and a Black-Scholes equation obtained. The approximate valuation of American options due to Barone-Adesi and Whaley is extended to this setting. |
| Keywords: | Option pricing free boundary problem Black-Scholes equation. |
| Description: | © World Scientific Publishing Company |
| DOI: | 10.1142/S0219024902001523 |
| Published version: | http://dx.doi.org/10.1142/s0219024902001523 |
| Appears in Collections: | Applied Mathematics publications Aurora harvest 6 |
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