American put options with regime-switching volatility

Bong-Gyu Jang and Hyeng Keun Koo

Journal of Derivatives and Quantitative Studies: 선물연구, 2024, vol. 32, issue 2, 86-115

Abstract: Keywords: Derivative pricing, American option, Regime switch, Stochastic volatility

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jdqspp:jdqs-12-2023-0043

DOI: 10.1108/JDQS-12-2023-0043

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