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

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dc.creatorJiang, Z.
dc.creatorPistorius, M. R.
dc.date2008-03-15
dc.date.accessioned2026-07-07T12:05:44Z
dc.date.available2026-07-07T12:05:44Z
dc.descriptionIn this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching Lévy model. For the case of the (dense) class of phase-type jumps and finitely many regimes we derive an explicit expression for the value function. The solution of the corresponding first passage problem under a state-dependent level rests on a path transformation and a new matrix Wiener-Hopf factorization result for this class of processes.
dc.description22 pages, 3 figures. Tp appear in Finance and Stochastics,
dc.identifierhttps://arxiv.org/abs/0803.2302
dc.identifierhttp://arxiv.org/abs/0803.2302
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208456
dc.subjectPricing of Securities
dc.subjectProbability
dc.subject60K15, 90A09
dc.titleOn perpetual American put valuation and first-passage in a regime-switching model with jumps
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