Debt–equity swap with finite time horizon—variational inequality approach

American put option with regime-switchin

American put option with regime-switching volatility (finite time horizon)—Variational inequality approach

✍ Fahuai Yi 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 178 KB

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