A Finite Time Horizon Optimal Stopping Problem with Regime Switching

Authors:
H. Le;C. Wang
Affiliations:
huiling.le@nottingham.ac.uk and pmxcw1@nottingham.ac.uk;-
Venue:
SIAM Journal on Control and Optimization
Year:
2010

Citing 2
Cited 2

A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions

SIAM Journal on Control and Optimization
American Options in Regime-Switching Models

SIAM Journal on Control and Optimization

Methods for Pricing American Options under Regime Switching

SIAM Journal on Scientific Computing
A Comparison of Iterated Optimal Stopping and Local Policy Iteration for American Options Under Regime Switching

Journal of Scientific Computing

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Abstract

We extend the technique developed in [E. Bayraktar, A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusion, http://arxiv.org/abs/math/0703782, 2007] to a class of finite time horizonal optimal stopping problems under regime switching models which includes the pricing of American put options. The construction involved also leads to a computational procedure for the solutions of such optimal stopping problems.