An explicit solution to an optimal stopping problem with regime switching

By Xin Guo. Journal of Applied Probability, 2001

173 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6f5652ad4b16d21addc011c496797675d94e8d1b

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Citations in the corpus

On some recent aspects of stochastic control and their applications (2005, background): “in [9], [87], and applied in finance in [19], [30], [45], [21] or [80].”
The Aggregate Dynamics of Capital Structure and Macroeconomic Risk (2010, background): “See Guo (2001) for a proof that the above quartic has 4 distinct real roots, two of which are positive, provided that σX,i, ri, λ̂i > 0 for i ∈ {1, 2}.”
Regime Switching and European Options (2002, background): “The inverse Fourier transform gives rise to a density function for T1 in terms of Bessel processes. See Guo [5], [ 6 ].”
EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (2009, methodology): “CONSTRUCTION OF THE SOLUTION AND EXAMPLES OF EXPLICIT SOLUTIONS In this section, we obtain explicit solutions for consumption-investment problems in financial markets with regime switching. As far as we know, Zhou and Yin (2003) and this paper are the only ones which obtain explicit solutions for cl”
Some optimal stopping problems with nontrivial boundaries for pricing exotic options (2001, background): “It further confirms our understanding that the structure of their solution is also intrinsically related to the linearity of the payoff function (because K = 0), as was pointed out in [3].”
Russian and American put options under exponential phase-type Lévy models (2004, methodology): “In fact, we show that the method employed – of obtaining barrier crossing probabilities via a martingale stopping approach – works equally for barrier problems under the much more general class of regime switching exponential Lévy models with phase–type jumps, or for the regime switching Brownian mo”
American options with regime switching (2002, background): “longer complete. This question is discussed in Guo [ 6 ], where the market is completed by”
A stochastic target formulation for optimal switching problems in finite horizon (2009, unknown): “[4], [9], [10] and [8].”