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- W1551567250 abstract "We study the minimal payoff scenario for the holder of an American-style option in the presence of regime-switching uncertainty, for a large class of payoff functions. We assume that the transition rates are only known to lie within level-dependent compact sets, and so the holder takes a worst-case scenario position. We show that the minimal payoff identifies with the value function of an optimal stopping problem associated with a certain extremal rate matrix and characterized as the probabilistic solution of a free-boundary problem. The approach is via time-change and classical PDE techniques. We apply our results to the context of American option pricing under the Markov-modulated constant elasticity of variance and Markov-modulated geometric Brownian motion models." @default.
- W1551567250 created "2016-06-24" @default.
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- W1551567250 date "2013-09-05" @default.
- W1551567250 modified "2023-09-27" @default.
- W1551567250 title "American options with regime-switching uncertainty" @default.
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