On perpetual American put valuation and first-passage in a regime-switching model with jumps
Zhengjun Jiang; Martijn R. Pistorius
| Year of publication: |
2008
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|---|---|
| Authors: | Jiang, Zhengjun ; Pistorius, Martijn R. |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 12.2008, 3, p. 331-355
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| Subject: | Wiener-Hopf factorization | Lévy model | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003899193