American option prices in a Markov chain market model

作者：van der Hoek John; Elliott Robert J^*

来源：Applied Stochastic Models in Business and Industry, 2012, 28(1): 35-59.

DOI：10.1002/asmb.893

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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%26apos;s Lemma is established and numerical results obtained.

• 出版日期2012-2