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- W2890707601 abstract "Abstract Pricing financial or real options with arbitrary payoffs in regime‐switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in regime‐switching models. In this article, we reduce an optimal stopping problem with an arbitrary value function in a two‐regime environment to a pair of optimal stopping problems without regime switching. We then propose a method for finding optimal stopping rules using the techniques available for nonswitching problems. In contrast to other methods, our systematic solution procedure is more direct as we first obtain the explicit form of the value functions. In the end, we discuss an option pricing problem, which may not be dealt with by the conventional methods, demonstrating the simplicity of our approach." @default.
- W2890707601 created "2018-09-27" @default.
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- W2890707601 date "2019-07-14" @default.
- W2890707601 modified "2023-10-06" @default.
- W2890707601 title "A direct solution method for pricing options in regime‐switching models" @default.
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- W2890707601 doi "https://doi.org/10.1111/mafi.12220" @default.
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