Adelaide Research & Scholarship
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https://hdl.handle.net/2440/72818
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| Type: | Journal article |
| Title: | American option prices in a Markov chain market model |
| Author: | Van Der Hoek, J. Elliott, R. |
| Citation: | Applied Stochastic Models in Business and Industry, 2012; 28(1):35-59 |
| Publisher: | John Wiley & Sons Ltd |
| Issue Date: | 2012 |
| ISSN: | 1524-1904 1526-4025 |
| Statement of Responsibility: | John van der Hoek and Robert J. Elliott |
| Abstract: | <jats:title>Abstract</jats:title><jats:p>This paper is a sequel to our previous paper ‘A New Paradigm in Asset Pricing’ in which we construct a model for asset pricing in a world where the randomness is modeled by a Markov chain. In this paper we develop a theory of optimal stopping and related variational inequalities for American options in this model. A version of Saigal's Lemma is established and numerical results obtained. Copyright © 2011 John Wiley & Sons, Ltd.</jats:p> |
| Keywords: | LED lighting PFC pre-regulator capacitor lifetime offline LED driver |
| Rights: | Copyright © 2011 John Wiley & Sons, Ltd. |
| DOI: | 10.1002/asmb.893 |
| Published version: | http://dx.doi.org/10.1002/asmb.893 |
| Appears in Collections: | Aurora harvest Mathematical Sciences publications |
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