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

Zhengjun Jiang () and Martijn Pistorius ()

Finance and Stochastics, 2008, vol. 12, issue 3, 355 pages

Keywords: American put option; Matrix Wiener–Hopf factorization; Phase-type; Regime-switching; First-passage problem; G13; 60K15; 90A09 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (27)

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DOI: 10.1007/s00780-008-0065-9

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