American option prices in a Markov chain market model |
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Authors: | John van der Hoek Robert J Elliott |
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Institution: | 1. School of Mathematics and Statistics, University of South Australia, S.A., Australia;2. Haskayne School of Business, University of Calgary, Alta., Canada;3. School of Mathematics, University of Adelaide, S.A., Australia |
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Abstract: | This paper is a sequel to our previous paper ‘A New Paradigm in Asset Pricing’ in which we construct a model for asset pricing in a world where the randomness is modeled by a Markov chain. In this paper we develop a theory of optimal stopping and related variational inequalities for American options in this model. A version of Saigal's Lemma is established and numerical results obtained. Copyright © 2011 John Wiley & Sons, Ltd. |
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Keywords: | LED lighting PFC pre‐regulator capacitor lifetime offline LED driver |
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