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A Finite Time Horizon Optimal Stopping Problem with Regime Switching

✍ Scribed by Le, H.; Wang, C.

Book ID
118205782
Publisher
Society for Industrial and Applied Mathematics
Year
2010
Tongue
English
Weight
475 KB
Volume
48
Category
Article
ISSN
0363-0129

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## Abstract We study the fair price of American put option with regime‐switching volatility. Assuming that volatility Οƒ(__t__) takes two different values Οƒ~1~ and Οƒ~2~, applying Ξ” hedging technique we obtain a system of evolutionary variational inequalities, which possesses two free boundaries (opt