1 |
Merton, R.C., Option pricing when underlying stock returns are discontinuous. , Journal of Financial Economics 3, 125-144, 1976.
DOI
ScienceOn
|
2 |
Oksendal, B., Stochastic differential Equations, 6th ed., Springer-Verlag, New York, 2005.
|
3 |
ZHANG, Q., Stock trading: An optimal selling rule, SIAM J. Control Optim., 40(2001), pp. 67-84, 2001.
|
4 |
Chib, S., Estimation and comparison of multiple change-point models., Journal of Economics 86, 221-241, 1998.
DOI
|
5 |
Hamilton, J.D., A new approach to the economic analysis of nonstationary time series, Econometrica, 57, 357-384, 1989.
DOI
ScienceOn
|
6 |
Cox, J.C., and Ross, S., The valuation of options for alternative stochastic process. , Journal of Financial Economics 3, 145-166, 1976.
DOI
ScienceOn
|
7 |
Guo, X., An explicit solution to an optimal stopping problem with regime switching, J. Appl. Prob. , 38, pp. 464-481, 2001
DOI
|
8 |
Guo, X. and Zhang, Q., Closed-form solutions for perpetual american put options with regime switching, SIAM J. Appl. Math. , 64, pp. 2034-2049, 2004
DOI
ScienceOn
|
9 |
Hull, J.C., Options, Futures, and Other Derivatives,4th Ed., Prentice-Hall, Upper Saddle River, NJ, 2000.
|
10 |
McKean, H.P., A free boundary problem for the heat equation arising from a problem of mathematical economics. , Inderstrial Managem. review 61, 32-39, 1965 Spring.
|