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Exit problems in regime-switching models

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  • Boyarchenko, Svetlana
  • Levendorskii, Sergei

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  • Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
    • Handle: RePEc:eee:mateco:v:44:y:2008:i:2:p:180-206
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    1. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
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    6. Hsu, Jason C. & Schwartz, Eduardo S., 2003. "A Model of R&D Valuation and the Design of Research Incentives," University of California at Los Angeles, Anderson Graduate School of Management qt28j7c9r4, Anderson Graduate School of Management, UCLA.
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    10. Jason C. Hsu & Eduardo S. Schwartz, 2003. "A Model of R&D Valuation and the Design of Research Incentives," NBER Working Papers 10041, National Bureau of Economic Research, Inc.
    11. Svetlana Boyarchenko & Sergei Levendorski&icaron;, 2007. "Practical Guide To Real Options In Discrete Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 311-342, February.
    12. Qiang Dai & Kenneth J. Singleton & Wei Yang, 2007. "Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields," The Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1669-1706, 2007 12.
    13. L. Alili & A. E. Kyprianou, 2005. "Some remarks on first passage of Levy processes, the American put and pasting principles," Papers math/0508487, arXiv.org.
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    16. S. G. Kou, 2002. "A Jump-Diffusion Model for Option Pricing," Management Science, INFORMS, vol. 48(8), pages 1086-1101, August.
    17. Davig, Troy, 2004. "Regime-switching debt and taxation," Journal of Monetary Economics, Elsevier, vol. 51(4), pages 837-859, May.
    18. Andrew B. Abel & Janice C. Eberly, 1996. "Optimal Investment with Costly Reversibility," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 63(4), pages 581-593.
    19. John Buffington & Robert J. Elliott, 2002. "American Options With Regime Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(05), pages 497-514.
    20. Svetlana Boyarchenko, 2004. "Irreversible Decisions and Record-Setting News Principles," American Economic Review, American Economic Association, vol. 94(3), pages 557-568, June.
    21. Grenadier, Steven R. & Weiss, Allen M., 1997. "Investment in technological innovations: An option pricing approach," Journal of Financial Economics, Elsevier, vol. 44(3), pages 397-416, June.
    22. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
    23. Asmussen, Søren & Avram, Florin & Pistorius, Martijn R., 2004. "Russian and American put options under exponential phase-type Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 79-111, January.
    24. Marcus Schulmerich, 2005. "Real Options Valuation," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-28512-0, October.
    25. Graeme Guthrie, 2006. "Regulating Infrastructure: The Impact on Risk and Investment," Journal of Economic Literature, American Economic Association, vol. 44(4), pages 925-972, December.
    26. Nicholas Sarantis & Sylviane Piard, 2004. "Credibility, Macroeconomic Fundamentals And Markov Regime Switches In The Ems," Scottish Journal of Political Economy, Scottish Economic Society, vol. 51(4), pages 453-476, September.
    27. Miltersen, Kristian R. & Schwartz, Eduardo S., 1998. "Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(1), pages 33-59, March.
    28. Boyarchenko Svetlana & Levendorskii Sergei Z, 2006. "General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 6(1), pages 1-53, June.
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    Cited by:

    1. Zhengjun Jiang & Martijn Pistorius, 2008. "Optimal dividend distribution under Markov-regime switching," Papers 0812.4978, arXiv.org, revised Apr 2011.
    2. Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
    3. Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
    4. Zhengjun Jiang & Martijn Pistorius, 2012. "Optimal dividend distribution under Markov regime switching," Finance and Stochastics, Springer, vol. 16(3), pages 449-476, July.
    5. Julia Eisenberg & Paul Kruhner, 2016. "The Impact of Negative Interest Rates on Optimal Capital Injections," Papers 1612.06654, arXiv.org.
    6. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
    7. Eisenberg, Julia & Krühner, Paul, 2018. "The impact of negative interest rates on optimal capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 1-10.
    8. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema," Papers 2211.07765, arXiv.org.
    9. Weinan Zhang & Pingping Zeng, 2023. "A transform-based method for pricing Asian options under general two-dimensional models," Quantitative Finance, Taylor & Francis Journals, vol. 23(11), pages 1677-1697, November.
    10. Peter Hieber, 2018. "Pricing exotic options in a regime switching economy: a Fourier transform method," Review of Derivatives Research, Springer, vol. 21(2), pages 231-252, July.
    11. Dehghani Mohammad H., 2014. "Policy Uncertainty and Technology Adoption," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 14(4), pages 1405-1430, October.
    12. He, Yongda & Lin, Boqiang, 2019. "Regime differences and industry heterogeneity of the volatility transmission from the energy price to the PPI," Energy, Elsevier, vol. 176(C), pages 900-916.

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